Instances of hybridization between mammalian taxa in the wild are rarely documented. To test for introgression between sibling species of horseshoe bat (Rhinolophus yunanensis and R. pearsoni) and two subspecies of the latter (R. p. pearsoni and R. p. chinensis), we sequenced two mtDNA and two ncDNA markers in individuals sampled from multiple localities within their overlapping ranges. The interspecific mtDNA gene tree corresponded to the expected taxonomic divisions, and coalescent-based analyses suggested divergence occurred around 4 MYA. However, these relationships strongly conflicted with those recovered from two independent nuclear gene trees, in which R. yunanensis clustered with R. p. pearsoni to the exclusion of R. p. chinensis. This geographically widespread discordance is best explained by large-scale historical introgression of ncDNA from R. yunanensis to R. pearsoni by male-mediated exchange in mixed species colonies during Pleistocene glacial periods, when ranges may have contracted and overlapped more than at present. Further species tree–gene tree conflicts were detected between R. p. pearsoni and R. p. chinensis, also indicating past and/or current introgression in their overlapping regions. However, here the patterns point to asymmetric mtDNA introgression without ncDNA introgression. Analyses of coalescence times indicate this exchange has occurred subsequent to the divergence of these subspecies from their common ancestor. Our work highlights the importance of using multiple data sets for reconstructing phylogeographic histories and resolving taxonomic relationships.