Scimitar-horned oryx, now considered extinct in the wild, persists in large numbers in captivity. In this first molecular genetic study on this species, we explore the patterns of genetic diversity across European, North American, and a few other captive groups using microsatellite markers and mitochondrial control region sequencing. Strong population structure was not evident from microsatellite data but we discovered deep divergence within the mitochondrial DNA haplotypes from a network analysis where three disconnected networks were obtained, with estimated divergence times of c. 2.1–2.7 million years. Mismatch distribution analyses suggest population expansions c. 1.2 and 0.5 million years ago. We discuss our findings in the context of historical climatic changes in North Africa and use information obtained on current patterns of genetic diversity within captive groups to make recommendations for future captive management and reintroduction strategies.