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Aim: Genome‐wide genetic data can provide key input for both taxonomy and conservation, but its use in this context remains limited. In this study, we performed the first genome‐wide assessment of genetic variation in two populations of the Eurasian lynx, the Balkan population, the most threatened, and the Caucasian population, a possible glacial refugium, with the aim to place them in the context of the species, investigate their demographic history and evaluate their genetic status. Location: The Balkans and the Caucasus. Methods: We obtained whole genome resequencing data from seven Balkan and 12 Caucasian lynx, and analysed them along with novel and existing data from other populations. Based on a total 105 whole genome and 114 mitogenome sequences, we reconstructed phylogenetic and historical relationships, ancient and recent demography, and patterns of genetic diversity and inbreeding. Results: Both the Balkan and the Caucasian lynx appear as distinct mitochondrial lineages that diverged from the rest of the Eurasian lynx lineages ca. 92.6 kya, and from each other ca. 46.4 kya. Autosomal data suggest, however, that the Balkan lynx is closely related with the Carpathian population, and revealing alarmingly low genetic diversity and high inbreeding. In contrast, the Caucasian lynx shows a longer history of relative isolation from the rest of lynx populations and high genetic diversity, consistent with its large long‐term effective population size. Main conclusions: The taxonomic status of the Balkan lynx remains unresolved due to the evidence of long‐term isolation in the mitogenome, contrasting with extensive autosomal admixture and intense recent genetic drift in the nuclear genome. Our results alert on genetic risks and call for the consideration of genetic rescue from closely related Carpathian lynxes. In contrast, substantial mitogenomic and autosomal divergence with no signs of genetic drift supports the identification of the Caucasian lynx as a separate subspecies with good genetic health. [ABSTRACT FROM AUTHOR]