Depth separation is a proposed driver of speciation in marine fishes, with marine rockfish (genus Sebastes) providing a potentially informative study system. Sebastes rockfishes are commercially and ecologically important. This genus encompasses more than one hundred species and the ecological and morphological variance between these species provides opportunity for identifying speciation‐driving adaptations, particularly along a depth gradient. A reduced‐representation sequencing method (ddRADseq) was used to compare 95 individuals encompassing six Sebastes species. In this study, we sought to identify regions of divergence between species that were indicative of divergent adaptation and reproductive barriers leading to speciation. A pairwise comparison of S. chrysomelas (black‐and‐yellow rockfish) and S. carnatus (gopher rockfish) FST values revealed three major regions of elevated genomic divergence, two of which were also present in the S. miniatus (vermilion rockfish) and S. crocotulus (sunset rockfish) comparison. These corresponded with regions of both elevated DXY values and reduced nucleotide diversity in two cases, suggesting a speciation‐with‐gene‐flow evolutionary model followed by post‐speciation selective sweeps within each species. Limited whole‐genome resequencing was also performed to identify mutations with predicted effects between S. chrysomelas and S. carnatus. Within these islands, we identified important SNPs in genes involved in immune function and vision. This supports their potential role in speciation, as these are adaptive vectors noted in other organisms. Additionally, changes to genes involved in pigment expression and mate recognition shed light on how S. chrysomelas and S. carnatus may have become reproductively isolated.