Island populations diverge from the mainland and from each other by both natural selection and neutral forces such as founder effects and genetic drift. In this work we aim to determine the relative roles of selection and drift in the diversification of chaffinches (Fringilla spp.) in Macaronesia. We tested the hypothesis that taxa inhabiting Macaronesian archipelagos, which exhibit significant differences in habitat and climate compared to the mainland, should experience distinct ecological pressures, leading to divergence at loci under selection related to environmental variables. To determine the role of local adaptation in the differentiation of these taxa, we performed genotype-environment association (GEA) analyses using ten environmental variables and 52,306 single-nucleotide polymorphism markers obtained from genotyping-by-sequencing (GBS) in 79 chaffinches. Redundancy analysis (RDA) revealed that genomic variation is associated with environmental variables, and identified candidate genes related to phenotypic traits and environmental variables. Variables associated with habitat type and precipitation, together with drift, played an important role in the genomic differentiation between chaffinches from Macaronesia and the mainland, as well as within the Canarian archipelago. Genetic drift was identified as the main factor in the differentiation of North African chaffinches from Macaronesia and mainland Europe, as well as Madeira chaffinches from those in the Canary Islands. Finally, chaffinches from the Canary Islands show an incipient diversification process at the genetic and phenotypic level driven by both selection and neutral processes. Our results suggest that both habitat-driven local adaptation and drift have played a role in the radiation of chaffinch taxa in Macaronesia.