Previous studies have reported higher levels of divergence for microsatellites than for allozymes in several species, suggested to reflect stabilizing selection on the allozymes. We compared the differentiation patterns of 11 allozyme and nine microsatellite loci using 679 spawning Atlantic herring (Clupea harengus) collected in the Baltic and North Seas to test for differential natural selection on these markers. Observed distributions of F statistics for the two types of markers are conspicuously dissimilar, but we show that these differences can largely be explained by sampling phenomena caused by different allele frequency distributions and degrees of variability. The results show consistently low levels of differentiation for both marker types, with the exception of one outlier microsatellite locus with a notably high FST. The aberrant pattern at this locus is primarily due to two alleles occurring at markedly high frequencies in the Baltic, suggesting selection at this locus, or a closely linked one. When excluding this locus, the two marker types show similar, weak differentiation patterns with FST values between the Baltic and the North Seas of 0.001 and 0.002 for allozymes and microsatellites, respectively. This small heterogeneity, and weak isolation by distance, is easier to distinguish statistically with microsatellites than with allozymes that have fewer alleles and skewed frequency distributions. The allozymes, however, also detect surprisingly low levels of divergence. Our results support suggestions that previously described differences between marker types are primarily caused by a small number of outlier loci.