The geographic ranges of European plants and animals underwent periods of contraction and re-colonisation during the climatic oscillations of the Pleistocene. The southern Mediterranean peninsulas (Iberian, Italian and Balkan) have been considered the most likely refugia for temperate/warm adapted species. Recent studies however have revealed the existence of extra-Mediterranean refugia, including the existence of cryptic north-west European refugia during the Last Glacial Maxima (24–14.6 kyr BP). In this study we elucidated the phylogeographic history of two sibling bat species, Pipistrellus pipistrellus and P. pygmaeus in their western European range. We sequenced the highly variable mtDNA D-loop for 167 samples of P. pipistrellus (n = 99) and P. pygmaeus (n = 68) and combined our data with published sequences from 331 individuals. Using phylogenetic methodologies we assessed their biogeographic history. Our data support a single eastern European origin for populations of P. pygmaeus s.str., yet multiple splits and origins for populations of P. pipistrellus s.str., including evidence for refugia within refugia and potential cryptic refugia in north western Europe and in the Caucasus. This complex pattern in the distribution of mtDNA haplotypes supports a long history for P. pipistrellus s.str. in Europe, and the hypothesis that species with a broad ecological niche may have adapted and survived outside southern peninsula throughout the LGM.