Growing evidence supports the idea that species can diverge in the presence of gene flow. However, most methods of phylogeny estimation do not consider this process, despite the fact that ignoring gene flow is known to bias phylogenetic inference. Furthermore, studies that do consider divergence-with-gene-flow typically do so by estimating rates of gene flow using a isolation-with-migration model (IM), rather than evaluating scenarios of gene flow (such as divergence-with-gene flow or secondary contact) that represent very different types of diversification. In this investigation, we aim to infer the recent phylogenetic history of a clade of western long-eared bats while evaluating a number of different models that parameterize gene flow in a variety of ways. We utilize PHRAPL, a new tool for phylogeographic model selection, to compare the fit of a broad set of demographic models that include divergence, migration, or both among Myotis evotis, M. thysanodes and M. keenii. A genomic data set consisting of 808 loci of ultraconserved elements was used to explore such models in three steps using an incremental design where each successive set was informed by, and thus more focused than, the previous set of models. Specifically, the three steps were to (i) assess whether gene flow should be modeled and identify the best topologies, (ii) infer directionality of migration using the best topologies, and (iii) estimate the timing of gene flow. The best model (AIC model weight ∼0.98) included two divergence events ((M. evotis, M. thysanodes), M. keenii) accompanied by gene flow at the initial stages of divergence. These results provide a striking example of speciation-with-gene-flow in an evolutionary lineage.