Cetaceans are unique in being the only mammals completely adapted to an aquatic environment. This adaptation has required complex changes and sometimes a complete restructuring of physiology, behavior and morphology. Identifying genes that have been subjected to selection pressure during cetacean evolution would greatly enhance our knowledge of the ways in which genetic variation in this mammalian order has been shaped by natural selection. Here, we performed a genome-wide scan for positive selection in the dolphin lineage. We employed models of codon substitution that account for variation of selective pressure over branches on the tree and across sites in a sequence. We analyzed 7,859 nuclear-coding ortholog genes and using a series of likelihood ratio tests (LRTs), we identified 376 genes (4.8%) with molecular signatures of positive selection in the dolphin lineage. We used the cow as the sister group and compared estimates of selection in the cetacean genome to this using the same methods. This allowed us to define which genes have been exclusively under positive selection in the dolphin lineage. The enrichment analysis found that the identified positively selected genes are significantly over-represented for three exclusive functional categories only in the dolphin lineage: segment specification, mesoderm development and system development. Of particular interest for cetacean adaptation to an aquatic life are the following GeneOntology targets under positive selection: genes related to kidney, heart, lung, eye, ear and nervous system development.