The sperm whale, made famous by Moby Dick, is one of the most fascinating of all ocean-dwelling species given their unique life history, novel physiological adaptations to hunting squid at extreme ocean depths, and their position as one of the earliest branching toothed whales (Odontoceti). We assembled the sperm whale (Physeter macrocephalus) genome and resequenced individuals from multiple ocean basins to identify new candidate genes for adaptation to an aquatic environment and infer demographic history. Genes crucial for skin integrity appeared to be particularly important in both the sperm whale and other cetaceans. We also find sperm whales experienced a steep population decline during the early Pleistocene epoch. These genomic data add new comparative insight into the evolution of whales.