Under neutrality, polymorphisms are maintained through the balance between mutation and drift. Under selection, a variety of mechanisms may be involved in the maintenance of polymorphisms, for example, sexual selection or host-parasite coevolution on the population level or heterozygote advantage in diploid individuals. Here we address the emergence of polymorphisms in a population of interacting haploid individuals. In our model, each mutation generates a new evolutionary game characterized by a payoff matrix with an additional row and an additional column. Hence, in general, the fitness of new mutations is frequency-dependent rather than constant. This dynamical process is distinct from the sequential fixation of advantageous traits and naturally leads to the emergence of polymorphisms under selection. It causes substantially higher diversity than observed under the established models of neutral or frequency-independent selection. Our framework allows for the coexistence of an arbitrary number of types, but predicts an intermediate average diversity.