Natural selection shapes diversity across micro and macro-evolutionary scales. Selection causes local adaptation across populations within species and is simultaneously responsible for much of the divergence between species. However, it is unclear if either the force of or the response to selection is the same or different across these scales. Here we show that natural selection drives adaptive divergence between closely related species in a pattern that is distinct from local adaptation within a species. We use reciprocal common-garden transplant experiments across three species of Phlox wildflowers to show widespread adaptive divergence causing species to have highest fitness in their native habitats. Using provenance trials, we also find that one of these Phlox species has strong local adaptation between populations. We compare the axes of divergence and selection between these two scales of diversity and discover that one suite of traits predicts fitness differences between species and that an independent suite of traits predicts fitness variation within species across individuals. Our work reveals how forces of selection can both drive key divergence between species, allowing for and causing speciation, while simultaneously causing extensive diversity that is maintained across populations within a species. The selection landscape is complex and multidimensional.