The genus Cephalorhynchus (Gray 1846) consists of four species of small coastal dolphins distributed in cool temperate waters around the Southern Hemisphere. Each species is sympatric with other members of the subfamily Lissodelphininae but widely separated from other congeners. To describe the origin and radiation of these species, we examined 442 bp of mitochondrial DNA control region sequences of 307 individuals from the genus Cephalorhynchus and compared these to sequences from other members of the subfamily Lissodelphininae. We investigate the hypotheses that Cephalorhynchus is a monophyletic genus or, alternatively, that the four species have arisen separately from pelagic Lissodelphine species and have converged morphologically. Our results support the monophyly of Cephalorhynchus within the Lissodelphininae and a pattern of radiation by colonization. We confirm a pattern of shallow but diagnosable species clades with Heaviside’s dolphin as the basal branch. We further examine the monophyly of maternal haplotypes represented by our large population sample for each species. Based on this phylogeographic pattern, we propose that Cephalorhynchus originated in the waters of South Africa and, following the West Wind Drift, colonized New Zealand and then South America. The Chilean and Commerson’s dolphins then speciated along the two coasts of South America, during the glaciation of Tierra del Fuego. Secondary radiations resulted in genetically isolated populations for both the Kerguelen Island Commerson’s dolphin and the North Island Hector’s dolphin. Our results suggest that coastal, depth-limited odontocetes are prone to population fragmentation, isolation and occasionally long-distance movements, perhaps following periods of climatic change.