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Aim  We aimed to examine the phylogeographical structure and demographic history of domestic and wild yaks (Bos grunniens) based on a wide range of samples and complete mitochondrial genomic sequences. Location  The Qinghai‐Tibetan Plateau (QTP) of western China. Methods  All available D‐loop sequences for 405 domesticated yaks and 47 wild yaks were examined, including new sequences from 96 domestic and 34 wild yaks. We further sequenced the complete mitochondrial genomes of 48 domesticated and 21 wild yaks. Phylogeographical analyses were performed using the mitochondrial D‐loop and the total genome datasets. Results  We recovered a total of 123 haplotypes based on the D‐loop sequences in wild and domestic yaks. Phylogenetic analyses of this dataset and the mitochondrial genome data suggested three well‐supported and divergent lineages. Two lineages with six D‐loop haplogroups were recovered for all morphological breeds of domestic yaks across their distributions in the QTP, while one more lineage and more endemic haplogroups or haplotypes were found for wild yaks. Based on the mitochondrial genome data, the divergences of the three lineages were estimated to have occurred around 420,000 and 580,000 years ago, consistent with the geological records of two large glaciation events experienced in the QTP. Main conclusions  There are distinct phylogeographical differences between wild and domestic yaks. However, there is no apparent geographical correlation between identified haplogroups and distributions of domestic yaks. Three differentiated lineages of yaks probably evolved allopatrically in different regions during the Pleistocene glaciation events, then reunited into a single gene pool during post‐glacial population expansion and migrations before the start of the domestication of yaks in the Holocene.