The origin of pygmy right whales (Caperea marginata), the smallest and most enigmatic of the living baleen whales, remains contentious. Morphological analyses largely continue to ally Caperea with right whales (balaenids) based on shared cranial features like a tall braincase and a narrow, highly arched rostrum. By contrast, molecular data and some anatomical evidence suggest a closer relationship with rorquals (balaenopterids), but fail to explain "the substantial issue of convergence posed by the many balaenid features of Caperea" (Berta & Demere, 2017). To resolve this question, we sequenced the nuclear genome of C. marginata (812,269,251 paired reads; 47X average depth of coverage, with 89.33% of the genome covered at ≥10X) and subjected it to a multispecies coalescent analysis including representatives of all baleen whale families. Our results confirm Caperea as sister to rorquals and, thus, the convergent origin of its right whale-like anatomy. Considering this overwhelming molecular evidence, we propose that the traditional taxonomic grouping of Caperea with right whales be abandoned.