Using genetic markers, we reconstructed biogeographic origins, dispersal and diversification patterns of bats endemic to Madagascar and the Comoro islands. Our results give insight on when and how diversification was initiated in these western Indian Ocean bats: (1) populations of the Malagasy bat Myotis goudoti diverged into a southern and a northern component during the Pleistocene, with subsequent expansion and adaptation to all biomes, (2) Malagasy Miniopterus bats colonized the Comoros during the Pleistocene, favored by prevailing winds, yet recent inter-island gene flow is restricted to few individuals flying against winds but a notably shorter distance within the Comoros, (3) Emballonura lineages diverged during the Oligocene into two monophyletic groups, one represented by Malagasy members, the other by Indo-Pacific members, and (4) bioclimatic disparities between the humid east and dry west promoted the rather recent divergence of these emballonurid bats on Madagascar.