Chromosomal inversions are important drivers of genome evolution. The Eurasian malaria vector Anopheles messeae has five polymorphic inversions. A cryptic species, An. daciae, has been discriminated from An. messeae based on five fixed nucleotide substitutions in the internal transcribed spacer 2 (ITS2) of ribosomal DNA. However, the inversion polymorphism in An. daciae and the genome divergence between these species remain unexplored. In this study, we sequenced the ITS2 region and analyzed the inversion frequencies of 289 Anopheles larvae specimens collected from three locations in the Moscow region. Five individual genomes for each of the two species were sequenced. We determined that An. messeae and An. daciae differ from each other by the frequency of polymorphic inversions. Inversion X1 was fixed in An. messeae but polymorphic in An. daciae populations. The genome sequence comparison demonstrated genome-wide divergence between the species, especially pronounced on the inversion-rich X chromosome (mean Fst = 0.331). The frequency of polymorphic autosomal inversions was higher in An. messeae than in An. daciae. We conclude that the X chromosome inversions play an important role in the genomic differentiation between the species. Our study determined that An. messeae and An. daciae are closely related species with incomplete reproductive isolation.