Climate is a fundamental abiotic factor that plays a key role in driving the evolution, distribution and population diversification of species. However, there have been few investigations of genomic signatures of adaptation to local climatic conditions in cladocerans. Here, we have provided the first high‐quality chromosome‐level genome assembly (~143 Mb, scaffold N50 12.6 Mb) of the waterflea, Daphnia galeata, and investigated genomic variation in 22 populations from Central Europe and Eastern China. Our ecological‐niche models suggested that the historic distribution of D. galeata in Eurasia was significantly affected by Quaternary climate fluctuations. We detected pronounced genomic and morphometric divergences between European and Chinese D. galeata populations. Such divergences could be partly explained by genomic signatures of thermal adaptation to distinct climate regimes: a set of candidate single‐nucleotide polymorphisms (SNPs) potentially associated with climate were detected. These SNPs were in genes significantly enriched in the Gene ontology terms “determination of adult lifespan” and “translation repressor activity”, and especially, mthl5 and SOD1 involved in the IIS pathway, and EIF4EBP2 involved in the target of the rapamycin signalling pathway. Our study indicates that certain alleles might be associated with particular temperature regimes, playing a functional role in shaping the population structure of D. galeata at a large geographical scale. These results highlight the potential role of molecular variation in the response to climate variation, in the context of global climate change.