Blumeria graminis (Ascomycota) includes fungal pathogens that infect numerous grasses and cereals. Despite its economic impact on agriculture and its scientific importance in plant-pathogen interaction studies, the evolution of different lineages with different host ranges is poorly understood. Moreover, the taxonomy of grass powdery mildew is rather exceptional: there is only one described species (B. graminis) subdivided in different formae speciales (ff.spp.), which are defined by their host range. In this study we applied phylogenomic and population genomic methods to whole genome sequence data of 31 isolates of B. graminis belonging to different ff.spp. and reconstructed the evolutionary relationships between different lineages. The results of the phylogenomic analysis support a pattern of co-evolution between some of the ff.spp. and their host plant. In addition, we identified exceptions to this pattern, namely host jump events and the recent radiation of a clade less than 280,000 years ago. Furthermore, we found a high level of gene tree incongruence localized in the youngest clade. To distinguish between incomplete lineage sorting and lateral gene flow, we applied a coalescent-based method of demographic inference and found evidence of horizontal gene flow between recently diverged lineages. Overall we found that different processes shaped the diversification of B. graminis, co-evolution with the host species, host jump and fast radiation. Our study is an example of how genomic data can resolve complex evolutionary histories of cryptic lineages at different time scales, dealing with incomplete lineage sorting and lateral gene flow.