Sex chromosomes turn over rapidly in some taxonomic groups, where closely related species have different sex chromosomes. Although there are many examples of sex chromosome turnover, we know little about the functional roles of sex chromosome turnover in phenotypic diversification and genomic evolution. The sympatric pair of Japanese threespine stickleback (Gasterosteus aculeatus) provides an excellent system to address these questions: the Japan Sea species has a neo-sex chromosome system resulting from a fusion between an ancestral Y chromosome and an autosome, while the sympatric Pacific Ocean species has a simple XY sex chromosome system. Furthermore, previous quantitative trait locus (QTL) mapping demonstrated that the Japan Sea neo-X chromosome contributes to phenotypic divergence and reproductive isolation between these sympatric species. To investigate the genomic basis for the accumulation of genes important for speciation on the neo-X chromosome, we conducted whole genome sequencing of males and females of both the Japan Sea and the Pacific Ocean species. No substantial degeneration has yet occurred on the neo-Y chromosome, but the nucleotide sequence of the neo-X and the neo-Y has started to diverge, particularly at regions near the fusion. The neo-sex chromosomes also harbor an excess of genes with sex-biased expression. Furthermore, genes on the neo-X chromosome showed higher non-synonymous substitution rates than autosomal genes in the Japan Sea lineage. Genomic regions of higher sequence divergence between species, genes with divergent expression between species, and QTL for inter-species phenotypic differences were found not only at the regions near the fusion site, but also at other regions along the neo-X chromosome. Neo-sex chromosomes can therefore accumulate substitutions causing species differences even in the absence of substantial neo-Y degeneration.