The biogeographic history of the Chihuahuan Desert is known to be complex, and there is evidence of the effects of physiographic and climatic events in species diversification and demographic population changes in many taxa. Here, using DNA sequence data, we studied the influence of the physiographic and climatic events that occurred in the Chihuahuan Desert during the Pliocene–Pleistocene transition on the speciation and evolutionary history of the sister lizard species Sceloporus cyanostictus and S. gadsdeni. First, based on mtDNA and nDNA sequences, we estimated the divergence times of the sister species. Then, based on mtDNA sequences, we investigated the demographic history of both species within a phylogeographic framework. The divergence time was inferred to be 1.48 Mya, date that corresponds to the existence of a large lake in the Mapimian subprovince, between the current geographic locations of S. cyanostictus and S. gadsdeni. This lake could have acted as a barrier, leading to the speciation of both species. For the demographic history of the two species, we identified two distinct patterns: the population expansion of S. gadsdeni within the Last Glacial Maximum and the potential population decline of S. cyanostictus. Our results can be used as a guide for the study of other aspects that could be critical to developing conservation actions that ensure the survival of not only S. gadsdeni and S. cyanostictus, but also other co‐occurring lizard species.