The study of processes driving diversification requires a fully sampled and well resolved phylogeny. Multilocus approaches to the study of recent diversification provide a powerful means to study the evolutionary process, but their application remains restricted because multiple unlinked loci with suitable variation for phylogenetic or coalescent analysis are not available for most non-model taxa. Here we identify novel, putative single-copy nuclear DNA (nDNA) phylogenetic markers to study the colonization and diversification of an aquatic insect species complex, Cloeon dipterum L. 1761 (Ephemeroptera: Baetidae), in Macaronesia. Whole-genome sequencing data from one member of the species complex were used to identify 59 nDNA loci (32,213 base pairs), followed by Sanger sequencing of 29 individuals sampled from 13 islands of three Macaronesian archipelagos. Multispecies coalescent analyses established six putative species. Three island species formed a monophyletic clade, with one species occurring on the Azores, Europe and North America. Ancestral state reconstruction indicated at least two colonization events from the mainland (Canaries, Azores) and one within the archipelago (between Madeira and the Canaries). Random subsets of the 59 loci showed a positive linear relationship between number of loci and node support. In contrast, node support in the multispecies coalescent tree was negatively correlated with mean number of phylogenetically informative sites per locus, suggesting a complex relationship between tree resolution and marker variability. Our approach highlights the value of combining coalescent-based phylogeography, species delimitation, and phylogenetic reconstruction to resolve recent diversification events in an archipelago species complex.