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Around the world, many species are confined to "Sky Islands," with different populations in isolated patches of montane habitat. How does this pattern arise? One scenario is that montane species were widespread in lowlands when climates were cooler, and were isolated by local extinction caused by warming conditions. This scenario implies that many montane species may be highly susceptible to anthropogenic warming. Here, we test this scenario in a montane lizard (Sceloporus jarrovii) from the Madrean Sky Islands of southeastern Arizona. We combined data from field surveys, climate, population genomics, and physiology. Overall, our results support the hypothesis that this species' current distribution is explained by local extinction caused by past climate change. However, our results for this species differ from simple expectations in several ways: (a) their absence at lower elevations is related to warm winter temperatures, not hot summer temperatures; (b) they appear to exclude a low-elevation congener from higher elevations, not the converse; (c) they are apparently absent from many climatically suitable but low mountain ranges, seemingly "pushed off the top" by climates even warmer than those today; (d) despite the potential for dispersal among ranges during recent glacial periods (similar to 18,000 years ago), populations in different ranges diverged similar to 4.5-0.5 million years ago and remained largely distinct; and (e) body temperatures are inversely related to climatic temperatures among sites. These results may have implications for many other Sky Island systems. More broadly, we suggest that Sky Island species may be relevant for predicting responses to future warming.