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Vast population movements induced by recurrent climatic cycles have shaped the genetic structure of plant species. During glacial periods species were confined to low‐latitude refugia from which they recolonized higher latitudes as the climate improved. This multipronged recolonization led to many lineages that later met and formed large contact zones. We utilize genomic data from 5000 Picea abies trees to test for the presence of natural selection during recolonization and establishment of a contact zone in Scandinavia. Scandinavian P. abies is today made up of a southern genetic cluster originating from the Baltics, and a northern one originating from Northern Russia. The contact zone delineating them closely matches the limit between two major climatic regions. We show that natural selection contributed to its establishment and maintenance. First, an isolation‐with‐migration model with genome‐wide linked selection fits the data better than a purely neutral one. Second, many loci show signatures of selection or are associated with environmental variables. These loci, regrouped in clusters on chromosomes, are often related to phenology. Altogether, our results illustrate how climatic cycles, recolonization and selection can establish strong local adaptation along contact zones and affect the genetic architecture of adaptive traits.