The goals of this study were to identify genomic regions associated with depth divergence in rockfishes (genus Sebastes). Many closely related rockfish species are distributed along a depth gradient. We examined pooled samples that were enriched for exome sequences to identify genomic regions in two species pairs of rockfishes (S. chlorostictus/S. rosenblatti and S. crocotulus/S. miniatus). We were able to identify numerous regions of divergence in the S. chlorostictus/S. rosenblatti, some of which contained genes related to neurosensory pathways. The patterns were not as clear for the S. crocotulus/S. miniatus pair. Demographic modelling suggested a similar history of divergence for the two species pairs.