Climatic oscillations during the Pleistocene period could have had a profound impact on the origin of tropical species by the alternation of allopatric isolation and inter-population gene flow cycles. However, whether tropical speciation involves strictly allopatric isolation, or proceeds in the face of homogenizing gene flow, is relatively unclear. Here, we investigated geographical modes of speciation in four closely-related Euphaea damselfly species endemic to the subtropical and tropical East Asian islands using coalescent analyses of a multi-locus data set. The reconstructed phylogenies demonstrated distinct species status for each of the four species and the existence of two sister species pairs, E. formosa/E. yayeyamana and E. decorata/E. ornata. The species divergence time of the sibling Euphaea damselflies dates back to within the last one Mya of the Middle to Lower Pleistocene. The speciation between the populous E. formosa of Taiwan and the less numerous E. yayeyamana of the Yaeyama islands occurred despite significant bidirectional, asymmetric gene flow, which is strongly inconsistent with a strictly allopatric model. In contrast, speciation of the approximately equal-sized populations of E. decorata of the south-east Asian mainland and E. ornata of Hainan is inferred to have involved allopatric divergence without gene flow. Our findings suggest that differential selection of natural or sexual environments is a prominent driver of species divergence in subtropical E. formosa and E. yayeyamana; whereas for tropical E. decorata and E. ornata at lower latitudes, allopatric isolation may well be a pivotal promoter of species formation.