Sequence variability at three major histocompatibility complex (MHC) genes (DQB, DRA, and MHC-I) of cetaceans was investigated in order to get an overall understanding of cetacean MHC evolution. Little sequence variation was detected at the DRA locus, while extensive and considerable variability were found at the MHC-I and DQB loci. Phylogenetic reconstruction and sequence comparison revealed extensive sharing of identical MHC alleles among different species at the three MHC loci examined. Comparisons of phylogenetic trees for these MHC loci with the trees reconstructed only based on non-PBR sites revealed that allelic similarity/identity possibly reflected common ancestry and were not due to adaptive convergence. At the same time, trans-species evolution was also evidenced that the allelic diversity of the three MHC loci clearly pre-dated species divergence events according to the relaxed molecular clock. It may be the forces of balancing selection acting to maintain the high sequence variability and identical alleles in trans-specific manner at the MHC-I and DQB loci.