Objectives Sex‐specific genetic structures have been previously documented worldwide in humans, even though causal factors have not always clearly been identified. In this study, we investigated the impact of ethnicity, geography and social organization on the sex‐specific genetic structure in Inner Asia. Furthermore, we explored the process of ethnogenesis in multiple ethnic groups. Methods We sampled DNA in Central and Northern Asia from 39 populations of Indo‐Iranian and Turkic‐Mongolic native speakers. We focused on genetic data of the Y chromosome and mitochondrial DNA. First, we compared the frequencies of haplogroups to South European and East Asian populations. Then, we investigated the genetic differentiation for eight Y‐STRs and the HVS1 region, and tested for the effect of geography and ethnicity on such patterns. Finally, we reconstructed the male demographic history, inferred split times and effective population sizes of different ethnic groups. Results Based on the haplogroup data, we observed that the Indo‐Iranian‐ and Turkic‐Mongolic‐speaking populations have distinct genetic backgrounds. However, each population showed consistent mtDNA and Y chromosome haplogroups patterns. As expected in patrilocal populations, we found that the Y‐STRs were more structured than the HVS1. While ethnicity strongly influenced the genetic diversity on the Y chromosome, geography better explained that of the mtDNA. Furthermore, when looking at various ethnic groups, we systematically found a genetic split time older than historical records, suggesting a cultural rather than biological process of ethnogenesis. Conclusions This study highlights that, in Inner Asia, specific cultural behaviors, especially patrilineality and patrilocality, leave a detectable signature on the sex‐specific genetic structure.