With the aim to understand how next‐generation sequencing (NGS) improves both our assessment of genetic variation within populations and our knowledge on HLA molecular evolution, we sequenced and analysed 8 HLA loci in a well‐documented population from sub‐Saharan Africa (Mandenka). The results of full‐gene NGS‐MiSeq sequencing compared with those obtained by traditional typing techniques or limited sequencing strategies showed that segregating sites located outside exon 2 are crucial to describe not only class I but also class II population diversity. A comprehensive analysis of exons 2, 3, 4 and 5 nucleotide diversity at the 8 HLA loci revealed remarkable differences among these gene regions, notably a greater variation concentrated in the antigen recognition sites of class I exons 3 and some class II exons 2, likely associated with their peptide‐presentation function, a lower diversity of HLA‐C exon 3, possibly related to its role as a KIR ligand, and a peculiar molecular diversity of HLA‐A exon 2, revealing demographic signals. Based on full‐length HLA sequences, we also propose that the most frequent DRB1 allele in the studied population, DRB1*13:04, emerged from an allelic conversion involving 3 potential alleles as donors and DRB1*11:02:01 as recipient. Finally, our analysis revealed a high occurrence of the DRB1*13:04‐DQA1*05:05:01‐DQB1*03:19 haplotype, possibly resulting from a selective sweep due to protection to Onchorcerca volvulus, a prevalent pathogen in West Africa. This study unveils highly relevant information on the molecular evolution of HLA genes in relation to their immune function, calling for similar analyses in other populations living in contrasting environments.