Species distributed across climatic gradients will typically experience spatial variation in selection, but gene flow can prevent such selection from causing population genetic differentiation and local adaptation. Here, we studied genomic variation of 415 individuals across 34 populations of the common wall lizard (Podarcis muralis) in central Italy. This species is highly abundant throughout this region and populations belong to a single genetic lineage, yet there is extensive phenotypic variation across climatic regimes. We used redundancy analysis to, first, quantify the effect of climate and geography on population genomic variation in this region and, second, to test if climate consistently sorts specific alleles across the landscape. Climate explained 5% of the population genomic variation across the landscape, about half of which was collinear with geography. Linear models and redundancy analyses identified loci that were significantly differentiated across climatic regimes. These loci were distributed across the genome and physically associated with genes putatively involved in thermal tolerance, regulation of temperature-dependent metabolism and reproductive activity, and body colouration. Together, these findings suggest that climate can exercise sufficient selection in lizards to promote genetic differentiation across the landscape in spite of high gene flow.