Quaternary climatic fluctuations have left contrasting historical footprints on the neutral genetic diversity patterns of existing populations of different tree species. We should expect the demography, and consequently the neutral genetic structure, of taxa less tolerant to particular climatic extremes to be more sensitive to long-term climate fluctuations. We explore this hypothesis here by sampling all six pine species found in the Iberian Peninsula (2464 individuals, 105 populations), using a common set of chloroplast microsatellite markers, and by looking at the association between neutral genetic diversity and species-specific climatic requirements. We found large variation in neutral genetic diversity and structure among Iberian pines, with cold-enduring mountain species (Pinus uncinata, P. sylvestris and P. nigra) showing substantially greater diversity than thermophilous taxa (P. pinea and P. halepensis). Within species, we observed a significant positive correlation between population genetic diversity and summer precipitation for some of the mountain pines. The observed pattern is consistent with the hypotheses that: (i) more thermophilous species have been subjected to stronger demographic fluctuations in the past, as a consequence of their maladaptation to recurrent glacial cold stages; and (ii) altitudinal migrations have allowed the maintenance of large effective population sizes and genetic variation in cold-tolerant species, especially in more humid regions. In the light of these results and hypotheses, we discuss some potential genetic consequences of impending climate change.