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The determinants of variation in a species’ genome-wide nucleotide diversity include historical, environmental, and stochastic aspects. This diversity can inform us about the species’ past and present evolutionary dynamics. In parasites, the mode of transmission and the interactions with the host might supersede the effects of these aspects in shaping parasite genomic diversity. We used genomic samples from 10 populations of the microsporidian parasite Ordospora colligata to investigate present genomic diversity and how it was shaped by evolutionary processes, specifically, the role of phylogeography, co-phylogeography (with the host), natural selection, and transmission mode. Although very closely related microsporidia cause diseases in humans, O. colligata is specific to the freshwater crustacean Daphnia magna and has one of the smallest known eukaryotic genomes. We found an overlapping phylogeography between O. colligata and its host highlighting the long-term, intimate relationship between them. The observed geographic distribution reflects previous findings that O. colligata exhibits adaptations to colder habitats, which differentiates it from other microsporidian gut parasites of D. magna predominantly found in warmer areas. The co-phylogeography allowed us to calibrate the O. colligata phylogeny and thus estimate its mutation rate. We identified several genetic regions under potential selection. Our whole-genome study provides insights into the evolution of one of the most reduced eukaryotic genomes and shows how different processes shape genomic diversity of an obligate parasite.