Thaumetopoea is a genus of Lepidoptera referred to as the processionary moths species, that comprises famous defoliators of forest trees. They are also a threat to human and animal health due to the urticating setae carried by their larvae. Their phylogenetic relationships were studied so far using morphological data, mitochondrial DNA and only a few nuclear markers. Results remained controversial so far, notably for the winter Conifer‐feeding species complex encompassing T. pityocampa and T. wilkinsoni. In particular, since the first identification of divergent mitochondrial clades, several new species were described and incongruent phylogenies were proposed in this group. We here explored the potential of nuclear RAD‐seq data to resolve these inconsistencies and compare the resultant phylogeny with the information provided by the mitochondrial COI gene. It allows to propose a robust phylogeny and decipher cases of mitochondrial introgressions and nuclear‐mitochondrial discordance, which raises doubts about the validity of some recently described species. Hence, we recommend caution before describing new taxa in this group from mitochondrial data alone. Species delineation between geographically bounded and genetically differentiated lineages cannot be addressed pertinently without dedicated sampling and associated population genomic and ecological studies.