Sex chromosomes of teleost fishes often have low levels of differentiation and undergo frequent turnovers. Annual Nothobranchius killifishes comprise representatives with male-heterogametic XY or X1X2Y sex chromosome systems, scattered across their phylogeny, nested within species lacking cytologically detectable sex chromosomes. They thus provide a suitable system to study sex chromosome evolution and turnover. Here, we combined molecular cytogenetics and genomic analyses to examine several multiple sex chromosome systems in Nothobranchius spp. and their outgroup Fundulosoma thierryi. We used fluorescence in situ hybridization with three sex chromosome-specific painting probes and bacterial artificial chromosomes (BAC) bearing eight orthologues of genes found to be repeatedly co-opted as master sex determining (MSD) genes in fishes. Our results suggest at least four independent origins of sex chromosomes in the genus Nothobranchius. The synteny block carrying amhr2 gene was shared by X1X2Y systems of N. brieni, N. guentheri and N. lourensi, but the autosomal additions and the overall neo-Y chromosome structure differed among these species. On the other hand, gdf6 gene was localized to neo-Y of F. thierryi. None of the mapped MSD gene candidates seems to determine sex in N. ditte. We further sequenced genomes of F. thierryi female and N. guentheri male by long-read platforms and performed analyses of male and female Pool-seq data and coverage to delimit their non-recombining regions, determine degree of their differentiation, and thus complement the cytogenetic data in assessing potential MSD genes. We found low level of sex chromosomes differentiation in F. thierryi. In N. guentheri, however, we identified two distinct evolutionary strata on neo-Y. The amhr2 gene resides in the younger stratum and has low allelic variation, which questions its role in sex determination.