Identifying population structuring in highly fecund marine species with high dispersal rates is challenging, but critical for conservation and stock delimitation for fisheries management. European sea bass (Dicentrarchus labrax) is a commercial species of fisheries and aquaculture relevance whose stocks are declining in the North Atlantic, despite management measures to protect them and identifying their fine population structure is needed for managing their exploitation. As for other marine fishes, neutral genetic markers indicate that eastern Atlantic sea bass form a panmictic population and is currently managed as arbitrarily divided stocks. The genes of the major histocompatibility complex (MHC) are key components of the adaptive immune system and ideal candidates to assess fine structuring arising from local selective pressures. We used Illumina sequencing to characterise allelic composition and signatures of selection at the MHC class I‐α region of six D. labrax populations across the Atlantic range. We found high allelic diversity driven by positive selection, corresponding to moderate supertype diversity, with 131 alleles clustering into four to eight supertypes, depending on the Bayesian information criterion threshold applied, and a mean number of 13 alleles per individual. Alleles could not be assigned to particular loci, but private alleles allowed us to detect regional genetic structuring not found previously using neutral markers. Our results suggest that MHC markers can be used to detect cryptic population structuring in marine species where neutral markers fail to identify differentiation. This is particularly critical for fisheries management, and of potential use for selective breeding or identifying escapes from sea farms.