Demography, migration and natural selection are predominant processes affecting the distribution of genetic variation among natural populations. Many studies use neutral genetic markers to make inferences about population history. However, the investigation of functional coding loci, which directly reflect fitness, is critical to our understanding of species' ecology and evolution. Immune genes, such as those of the Major Histocompatibility Complex (MHC), play an important role in pathogen recognition and provide a potent model system for studying selection. We contrasted diversity patterns of neutral data with MHC loci, ELA-DRA and -DQA, in two southern African plains zebra (Equus quagga) populations: Etosha National Park, Namibia, and Kruger National Park, South Africa. Results from neutrality tests, along with observations of elevated diversity and low differentiation across populations, supported previous genus-level evidence for balancing selection at these loci. Despite being low, MHC divergence across populations was significant and may be attributed to drift effects typical of geographically separated populations experiencing little to no gene flow, or alternatively to shifting allele frequency distributions driven by spatially variable and fluctuating pathogen communities. At the DRA, zebra exhibited geographic differentiation concordant with microsatellites and reduced levels of diversity in Etosha due to highly skewed allele frequencies that could not be explained by demography, suggestive of spatially heterogeneous selection and local adaptation. This study highlights the complexity in which selection affects immune gene diversity and warrants the need for further research on the ecological mechanisms shaping patterns of adaptive variation among natural populations.