We review previous studies on the genetic diversity of malaria vectors to highlight the major trends in population structure and demographic history. In doing so, we outline key information about molecular markers, sampling strategies and approaches to investigate the causes of genetic structure in Anopheles mosquitoes. Restricted gene flow due to isolation by distance and physical barriers to dispersal may explain the spatial pattern of current genetic diversity in some Anopheles species. Nonetheless, there is noteworthy disagreement among studies, perhaps due to variation in sampling methodologies, choice of molecular markers, and/or analytical approaches. More refined genealogical methods of population analysis allowing for the inclusion of the temporal component of genetic diversity facilitated the evaluation of the contribution of historical demographic processes to genetic structure. A common pattern of past unstable demography (i.e., historical fluctuation in the effective population size) by several Anopheles species, regardless of methodology (DNA markers), mosquito ecology (anthropophilic vs zoophilic), vector status (primary vs secondary) and geographical distribution, suggests that Pleistocene environmental changes were major drivers of divergence at population and species levels worldwide.