[Background] The haplochromine cichlid species assemblages of Lake Malawi and Victoria represent some of the most important study systems in evolutionary biology. Identifying adaptive divergence between closely-related species can provide important insights into the processes that may have contributed to these spectacular radiations. Here, we studied a pair of sympatric Lake Malawi species, Pseudotropheus fainzilberi and P. emmiltos, whose reproductive isolation depends on olfactory communication. We tested the hypothesis that these species have undergone divergent selection at MHC class II genes, which are known to contribute to olfactory-based mate choice in other taxa.[Methodology/Principal Findings] Divergent selection on functional alleles was inferred from the higher genetic divergence at putative antigen binding sites (ABS) amino acid sequences than at putatively neutrally evolving sites at intron 1, exon 2 synonymous sequences and exon 2 amino acid residues outside the putative ABS. In addition, sympatric populations of these fish species differed significantly in communities of eukaryotic parasites.[Conclusions/Significance] We propose that local host-parasite coevolutionary dynamics may have driven adaptive divergence in MHC alleles, influencing odor-mediated mate choice and leading to reproductive isolation. These results provide the first evidence for a novel mechanism of adaptive speciation and the first evidence of adaptive divergence at the MHC in closely related African cichlid fishes.JB was supported by a post-graduate scholarship from the Natural Science and Engineering Research Council of Canada and Fond Québécois pour la Nature et les Technologies of Quebec. JC was funded by an Advanced Research Fellowship from the Natural and Environment Research Council (NER/J/S/2002/ 00706) of the UK. Field work by CvO., JB, and JC was funded by the British Ecological Society. CR was supported by the Consejo Superior de Investigacion Scientifica of Spain. GFT was funded by the Biotechnology and Biological Sciences Research Council of the UK and field work by the Natural and Environment Research Council of the UK. LB was funded by the Natural Science and Engineering Research Council of Canada (Discovery Grant Program).Peer reviewed