Local adaptations to the environment are an important aspect of the diversity of a species and their discovery, description and quantification has important implications for the fields of taxonomy, evolutionary and conservation biology. In this study, we scan genomes from several populations across the distributional range of the Eurasian lynx, with the objective of finding genomic windows under positive selection which may underlie local adaptations to different environments. A total of 394 genomic windows are found to be associated to local environmental conditions, and they are enriched for genes involved in metabolism, behaviour, synaptic organization and neural development. Adaptive genetic structure, reconstructed from SNPs in candidate windows, is considerably different than the neutral genetic structure of the species. A widespread adaptively homogeneous group is recovered occupying areas of harsher snow and temperature climatic conditions in the north‐western, central and eastern parts of the distribution. Adaptively divergent populations are recovered in the westernmost part of the range, especially within the Baltic population, but also predicted for different patches in the western and southern part of the range, associated with different snow and temperature regimes. Adaptive differentiation driven by climate does not correlate much with the subspecies taxonomic delimitations, suggesting that subspecific divergences are mostly driven by neutral processes of genetic drift and gene flow. Our results will aid the selection of source populations for assisted gene flow or genetic rescue programs by identifying what climatic patterns to look for as predictors of pre‐adaptation of individuals. Particularly, the Carpathian population is confirmed as the best source of individuals for the genetic rescue of the endangered, isolated and genetically eroded Balkan population. Additionally, reintroductions in central and western Europe, currently based mostly on Carpathian lynxes, could consider the Baltic population as an additional source to increase adaptive variation and likely improve adaptation to their milder climate.