Ecological speciation through adaptation to different habitats has been proposed for a variety of terrestrial, freshwater, and marine species. Such divergence of lineages in the absence of strong geographic isolation occurs most readily when the same traits are involved in both adaptation to different ecologies and reproductive isolation. In corals with photosynthetic symbionts and environment-mediated spawning events, adaptation to different light regimes associated with varying depths could provide opportunities for this kind of speciation. Here we show that differences in depth distribution are common in sister lineages of corals from a variety of taxonomic groups and locations. We then explore in detail the molecular drivers behind depth-associated adaptive divergence by documenting patterns of sequence divergence for proteins related to environmental sensing in depth-segregated and light-dependent lineages in the Orbicella species complex. Specifically, we analyzed 1) two ecotypes of Orbicella faveolata that exhibit genetic divergence across a depth gradient that may reflect an incipient recent (~200 Kyr; < 6K generations) speciation event, and 2) two depth-segregated sister species (~500 Kyr), O. annularis and O. franksi, that have been monitored for over two decades and spawn at different times following sunset. Genome-wide variation suggests divergence across depth occurred by adaptation via positive selection on rhodopsin-like G-protein-coupled receptors (GPCRs). These molecules are known to serve as chemo/photo/thermo-receptors mediating environmental transduction signals to enhance physiological adaptation across different environments, while also involved in reproductive isolation via differences in time of spawning in corals. Our study posits a molecular mechanism for the origin of depth-segregated coral species, common across the anthozoan tree of life, in systems in which ecological divergence operates at spatial scales smaller (< 1 km) than their larval dispersal potential, and highlights avenues contributing to generating biodiversity in the sea.