This study combines neutrality tests and environmental correlations to identify nonneutral patterns of evolution in candidate genes related to drought stress in two closely related Mediterranean conifers, Pinus pinaster Ait. and P. halepensis Mill. Based on previous studies, we selected twelve amplicons covering six candidate genes that were sequenced in a large sample spanning the full range of these two species. Neutrality tests relatively robust to demography (DHEW compound test and maximum likelihood multilocus Hudson-Kreitman-Aguadé test) were used to detect selection events at different temporal scales. Environmental associations between variation at candidate genes and climatic variables were also examined. These combined approaches detected distinct genes that may be targeted by selection, most of them specific to only one of the two conifers, despite their recent divergence (<10 Ma). An exception was 4-coumarate: CoA ligase, a gene involved in the production of various important secondary products that appeared to play a role in local adaptation processes of both pines. Another remarkable result was that all significant environmental correlations involved temperature indices, highlighting the importance of this climatic factor as a selective driver on Mediterranean pines. The ability to detect natural selection at the DNA sequence level depends on the nature and the strength of the selection events, on the timescale at which they occurred, and on the sensitivity of the methods to other evolutionary forces that can mimic selection (e.g., demography and population structure). Using complementary approaches can help to capture different aspects of the evolutionary processes that govern molecular variation at both intra- and interspecific levels.