The repeated formation and loss of land-bridges during the Pleistocene have had lasting impacts on population genetic structure. In the tropics, where island populations persisted through multiple glacial cycles, alternating periods of isolation and contact are expected to have driven population and taxonomic divergence. Here, we combine mitochondrial and nuclear sequence data with microsatellites to dissect the impact of Pleistocene climate change on intra-specific diversification in the horseshoe bat Rhinolophus affinis. This taxon shows considerable morphological and acoustic variation: two parapatric subspecies (himalayanus and macrurus) occur on mainland China and a third (hainanus) on Hainan Island. Our phylogeographic reconstruction and coalescent analyses suggest the island subspecies formed from an ancestral population of himalayanus via two colonization events c. 800,000 years before present. R. a. hainanus then recolonized the mainland, forming macrurus and thus a secondary contact zone with himalayanus. Finally, macrurus recolonized Hainan following the LGM. We found that all three biological events corresponded to known periods of land-bridge formation. Evidence of introgression was detected between macrurus and both its sister taxa, with geographical proximity rather than length of separation appearing to be the biggest determinant of subsequent genetic exchange. Our study highlights the important role of climate-mediated sea level changes have had in shaping current processes and patterns of population structure and taxonomic diversification.