High gene flow is considered the norm for most marine organisms and is expected to limit their ability to adapt to local environments. Few studies have directly compared the patterns of differentiation at neutral and selected gene loci in marine organisms. We analysed a transcriptome-derived panel of 281 SNPs in Atlantic herring (Clupea harengus), a highly migratory small pelagic fish, for elucidating neutral and selected genetic variation among populations and to identify candidate genes for environmental adaptation. We analysed 607 individuals from 18 spawning locations in the northeast Atlantic, including two temperature clines (5–12 °C) and two salinity clines (5–35‰). By combining genome scan and landscape genetic analyses, four genetically distinct groups of herring were identified: Baltic Sea, Baltic–North Sea transition area, North Sea/British Isles and North Atlantic; notably, samples exhibited divergent clustering patterns for neutral and selected loci. We found statistically strong evidence for divergent selection at 16 outlier loci on a global scale, and significant correlations with temperature and salinity at nine loci. On regional scales, we identified two outlier loci with parallel patterns across temperature clines and five loci associated with temperature in the North Sea/North Atlantic. Likewise, we found seven replicated outliers, of which five were significantly associated with low salinity across both salinity clines. Our results reveal a complex pattern of varying spatial genetic variation among outlier loci, likely reflecting adaptations to local environments. In addition to disclosing the fine scale of local adaptation in a highly vagile species, our data emphasize the need to preserve functionally important biodiversity.