The search for molecular targets of selection is leading to a better understanding of how evolution shapes biological diversity. Instances of recent and rapid speciation are suitable for associating phenotypes with their causal genotypes, because gene flow may homogenize areas of the genome that are not under divergent selection. Locating differentiated genomic regions among taxa allows us to test associations between the genes in these regions and their contributions to phenotypic diversity. Here we study a rapid radiation of nine sympatric bird species known as southern capuchino seedeaters, which are strikingly differentiated in sexually selected characters of male plumage and song. We sequenced the genomes of 72 individuals representing a diverse set of species and associated phenotypes to seearch for differentiated genomic regions. We asked what genes are harbored in divergent regions and to what extent has selection on the same targets shaped phenotypic diversity across different lineages. Capuchinos show differences in a small proportion of their genomes, yet selection has acted independently on the same targets during the groups' radiation. Many divergence peaks contain genes involved in the melanogenesis pathway, with the strongest signal originating from a regulatory region upstream of the gene coding for the Agouti-signaling protein. Across all divergence peaks, the most differentiated areas are similarly likely regulatory. Our findings are consistent with selection acting on the same genomic regions in different lineages to shape the evolution of cis-regulatory elements, which control how more conserved genes are expressed and thereby generate diversity in sexually selected traits.