Understanding the dynamics of speciation is a central topic in evolutionary biology. Here, we investigated how morphological and genomic differentiation accumulated along the speciation continuum in the African cichlid fish Astatotilapia burtoni. While morphological differentiation was continuously distributed across different lake-stream population pairs, we found that there were two categories with respect to genomic differentiation, suggesting a “gray zone” of speciation at ~0.1% net nucleotide divergence. Genomic differentiation was increased in the presence of divergent selection and drift compared to drift alone. The quantification of phenotypic and genetic parallelism in four cichlid species occurring along a lake-stream environmental contrast revealed parallel and antiparallel components in rapid adaptive divergence, and morphological convergence in species replicates inhabiting the same environments. Furthermore, we show that the extent of parallelism was higher when ancestral populations were more similar. Our study highlights the complementary roles of divergent selection and drift on speciation and parallel evolution.