In the newly emerging field of statistical phylogeography, consideration of the stochastic nature of genetic processes and explicit reference to theoretical expectations under various models has dramatically transformed how historical processes are studied. Rather than being restricted to ad hoc explanations for observed patterns of genetic variation, assessments about the underlying evolutionary processes are now based on statistical tests of various hypotheses, as well as estimates of the parameters specified by the models. A wide range of demographical and biogeographical processes can be accommodated by these new analytical approaches, providing biologically more realistic models. Because of these advances, statistical phylogeography can provide unprecedented insights about a species’ history, including decisive information about the factors that shape patterns of genetic variation, species distributions, and speciation. However, to improve our understanding of such processes, a critical examination and appreciation of the inherent difficulties of historical inference and challenges specific to testing phylogeographical hypotheses are essential. As the field of statistical phylogeography continues to take shape many difficulties have been resolved. Nonetheless, careful attention to the complexities of testing historical hypotheses and further theoretical developments are essential to improving the accuracy of our conclusions about a species’ history.