Speciation can involve a transition from a few genetic loci that are resistant to gene flow to genome-wide differentiation. However, only limited data exist concerning this transition and the factors promoting it. Here, we study phases of speciation using data from >100 populations of 11 species of Timema stick insects. Consistent with early phases of genic speciation, adaptive colour-pattern loci reside in localized genetic regions of accentuated differentiation between populations experiencing gene flow. Transitions to genome-wide differentiation are also observed with gene flow, in association with differentiation in polygenic chemical traits affecting mate choice. Thus, intermediate phases of speciation are associated with genome-wide differentiation and mate choice, but not growth of a few genomic islands. We also find a gap in genomic differentiation between sympatric taxa that still exchange genes and those that do not, highlighting the association between differentiation and complete reproductive isolation. Our results suggest that substantial progress towards speciation may involve the alignment of multi-faceted aspects of differentiation.