Although haplodiploidy is widespread in nature, the evolutionary consequences of this mode of reproduction are not well characterized. Here, we examine how genome-wide hemizygosity and a lack of recombination in haploid males affects genomic differentiation in populations that diverge via natural selection while experiencing gene flow. First, we simulated diploid and haplodiploid "genomes" (500-kb loci) evolving under an isolation-with-migration model with mutation, drift, selection, migration and recombination; and examined differentiation at neutral sites both tightly and loosely linked to a divergently selected site. As long as there is divergent selection and migration, sex-limited hemizygosity and recombination cause elevated differentiation (i.e., produce a "faster-haplodiploid effect") in haplodiploid populations relative to otherwise equivalent diploid populations, for both recessive and codominant mutations. Second, we used genome-wide single nucleotide polymorphism data to model divergence history and describe patterns of genomic differentiation between sympatric populations of Neodiprion lecontei and N. pinetum, a pair of pine sawfly species (order: Hymenoptera; family: Diprionidae) that are specialized on different pine hosts. These analyses support a history of continuous gene exchange throughout divergence and reveal a pattern of heterogeneous genomic differentiation that is consistent with divergent selection on many unlinked loci. Third, using simulations of haplodiploid and diploid populations evolving according to the estimated divergence history of N. lecontei and N. pinetum, we found that divergent selection would lead to higher differentiation in haplodiploids. Based on these results, we hypothesize that haplodiploids undergo divergence-with-gene-flow and sympatric speciation more readily than diploids.