Capra nubiana is a wild ibex species that is in danger of extinction. This study aimed at assessing the genetic diversity and population structure of Nubian ibex (Capra nubiana, n = 8) in comparison to Alpine ibex (Capra ibex, n = 8), Bezoar ibex (Capra aegagrus, n = 4), and domesticated Taggar goats (Capra aegagrus hircus, n = 24). All animals were genotyped with the 50K goat SNP chip. Since commercial SNP chips are not designed for wild species, data analysis was done in two ways: (1) using all callable SNPs (33,698) and (2) with a reduced set of SNPs segregating within three out of four populations (662). Using these two sets of SNPs, the observed heterozygosity in Nubian ibex ranged from 0.02 to 0.44, in Alpine ibex from 0.01 to 0.38, and in Bezoar ibex from 0.13 to 0.38, when analyzing 33,698 or 662 SNPs, respectively. In domesticated Taggar goats, the values for the observed heterozygosity using all 33,698 callable SNPs and the reduced set of 662 SNPs were similar (0.40–0.41). Pairwise FST values for the differentiation between species ranged from 0.17–0.35 (Bezoar ibex vs. Taggar goats) to 0.47–0.91 (Bezoar vs. Alpine ibex), and was 0.33–0.90 between Bezoar and Nubian ibex, respectively, to the two sets of SNPs. The analysis of molecular variance among all animals revealed that 74–78% can be explained by differences between species, while the residual 22–26% result from differences among individuals, respectively. Cluster analysis of Nei’s genetic distance allowed to detected two distinct clusters comprising Nubian and Alpine ibex on one hand and Taggar goats and Bezoar ibex on the other hand, and clear separation of all four breeds. Principal component (PC) analysis confirmed and further refined the clusters. SNPs that contributed most to PC1 allowed us to identify genomic regions accounting for the distances between species. These regions contain known milk protein genes. The identification of milk protein genes as contributors to the differentiation between species provides insights into the domestication of wild Capra breeds.