Transition zones are of high evolutionary interest because unique patterns of spatial variation are often retained. Here, we investigated the phylogeography of the peacock blenny, Salaria pavo, a small marine intertidal fish that inhabits rocky habitats of the Mediterranean and the adjacent Atlantic Ocean. We screened 170 individuals using mitochondrial and nuclear sequence data from eight locations. Four models of genetic structure were tested: panmixia, isolation-by-distance, secondary contact and phylogeographic break. Results indicated clear asymmetric migration from the Mediterranean to the Atlantic but only marginally supported the isolation-by-distance model. Additionally, the species displays an imprint of demographic expansion compatible with the last glacial maximum. Although the existence of a refugium in the Mediterranean cannot be discarded, the ancestral lineage most likely originated in the Atlantic, where most of the genetic diversity occurs.