The focus of this study has been to understand the evolutionary relationships and taxonomy of a widely distributed parapatric species pair of wild silk moths in Europe: Saturnia pavonia and Saturnia pavoniella (Lepidoptera: Saturniidae). To address species delimitation in these parapatric taxa, target enrichment and mtDNA sequencing was employed alongside phylogenetic, admixture, introgression, and species delimitation analyses. The dataset included individuals from both species close to and farther away from the contact zone as well as two hybrids generated in the lab. Nuclear markers strongly supported both S. pavonia and S. pavoniella as two distinct species, with hybrids forming a sister group to S. pavoniella. However, the Maximum Likelihood (ML) tree generated from mtDNA sequencing data presented a different picture, showing both taxa to be phylogenetically intermixed. This inconsistency is likely attributable to mitonuclear discordance, which can arise from biological factors (e.g., introgressive hybridization and/or incomplete lineage sorting). Our analyses indicate that past introgressions have taken place, but that there is no evidence to suggest an ongoing admixture between the two species, demonstrating that the taxa have reached full postzygotic reproductive isolation and hence represent two distinct biological species. Finally, we discuss our results from an evolutionary point of view taking into consideration the past climatic oscillations that have likely shaped the present dynamics between the two species. Overall, our study demonstrates the effectiveness of the target enrichment approach in resolving shallow phylogenetic relationships under complex evolutionary circumstances and that this approach is useful in establishing robust and well-informed taxonomic delimitations involving parapatric taxa.