Sex-specific differences in dispersal, survival, reproductive success, and natural selection differentially affect the effective population size (Ne) of genomic regions with different modes of inheritance such as sex chromosomes and mitochondrial DNA. In papionin monkeys (macaques, baboons, geladas, mandrills, drills, and mangabeys), for example, these factors are expected to reduce Ne of paternally inherited portions of the genome compared to maternally inherited portions. To explore this further, we quantified relative Ne of autosomal DNA, X and Y chromosomes, and mitochondrial DNA using molecular polymorphism and divergence information from pigtail macaque monkeys (Macaca nemestrina). Consistent with demographic expectations, we found that Ne of the Y is lower than expected from a Wright–Fisher idealized population with an equal proportion of males and females, whereas Ne of mitochondrial DNA is higher. However, Ne of 11 loci on the X chromosome was lower than expected, a finding that could be explained by pervasive hitchhiking effects on this chromosome. We evaluated the fit of these data to various models involving natural selection or sex-biased demography. Significant support was recovered for natural selection acting on the Y chromosome. A demographic model with a skewed sex ratio was more likely than one with sex-biased migration and explained the data about as well as an ideal model without sex-biased demography. We then incorporated these results into an evaluation of macaque divergence and migration on Borneo and Sulawesi islands. One X-linked locus was not monophyletic on Sulawesi, but multilocus data analyzed in a coalescent framework failed to reject a model without migration between these islands after both were colonized.