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Although situated ∼400 km from the east coast of Africa, Madagascar exhibits cultural, linguistic, and genetic traits from both Southeast Asia and Eastern Africa. The settlement history remains contentious; we therefore used a grid-based approach to sample at high resolution the genomic diversity (including maternal lineages, paternal lineages, and genome-wide data) across 257 villages and 2,704 Malagasy individuals. We find a common Bantu and Austronesian descent for all Malagasy individuals with a limited paternal contribution from Europe and the Middle East. Admixture and demographic growth happened recently, suggesting a rapid settlement of Madagascar during the last millennium. However, the distribution of African and Asian ancestry across the island reveals that the admixture was sex biased and happened heterogeneously across Madagascar, suggesting independent colonization of Madagascar from Africa and Asia rather than settlement by an already admixed population. In addition, there are geographic influences on the present genomic diversity, independent of the admixture, showing that a few centuries is sufficient to produce detectable genetic structure in human populations.