Evidence for spatially varying selection and adaptive variation can provide insight into a species’ ability to adapt to different environments. However, despite recent advances in genomics, it remains difficult to detect footprints of spatially varying selection in natural populations. Here we analysed ddRAD sequencing data (21,892 SNPs) in conjunction with geographic climate variation to search for signatures of adaptive differentiation in twelve populations of the bank vole (Myodes/Clethrionomys glareolus) distributed across Europe. To identify the loci subject to spatially varying selection and associated with climate variation, we applied multiple genotype-environment association (GEA) methods, two univariate and one multivariate, and controlled for the effect of population structure. In total, we identified 213 candidate adaptive loci, 74 of which were located within genes. In particular, we identified signatures of selection in candidate genes with functions related to lipid metabolism and the immune system. Using the results of redundancy analysis (RDA), we demonstrated that population history and climate have joint effects on the genetic variation in the pan-European metapopulation. Furthermore, by examining only candidate loci, we found that annual mean temperature is an important factor shaping adaptive genetic variation in the bank vole. By combining landscape genomic approaches, our study sheds light on genome-wide adaptive differentiation and the spatial distribution of variants underlying adaptive variation in bank voles that are influenced by local climate.