Delimiting recently divergent species is challenging. During speciation, genetic differentiation may not be evenly distributed across the genome, as different genomic regions can be subject to different evolutionary histories. When using a limited number of genetic markers, species delimitation can become particularly challenging and may lead to taxonomic inconsistencies and conflicting results between studies. Rockhopper penguins of the genus Eudyptes comprise three broadly recognized taxa: northern rockhopper (E. moseleyi), southern rockhopper (E. chrysocome) and eastern rockhopper (E. filholi), although their taxonomic status has proven controversial for decades. Some authors have suggested that E. chrysocome and E. filholi should be considered separate species, whereas others suggested they should be considered conspecific. These studies, however, have based their conclusions on a limited number of genetic markers. Here we used thousands of genomic markers to evaluate genetic differentiation and species delimitation in E. moseleyi, E. filholi and E. chrysocome. We also assessed contemporary migration rates and admixture between colonies. Across all analyses we found a pattern of genetic differentiation exhibiting a continuum between E. moseleyi, the earliest-diverging taxon, to the more recently diverged E. chrysocome and E. filholi, and then to the relatively subtle differentiation among populations of each taxon. The extent of genetic differentiation between the three taxa was consistently higher than population-level genetic differentiation found within these (and other) penguin species. We found no evidence of admixture between the three taxa, suggesting they are genetically isolated. Species molecular delimitation analyses, along with other lines of evidence, provide strong taxonomic support for the distinction of three species of rockhopper penguins. These results bear relevance to the management and conservation of this widely distributed taxonomic group.