Pharmacogenomic studies have revealed associations between rs1967309 in the adenylyl cyclase type 9 (ADCY9) gene and clinical responses to the cholesteryl ester transfer protein (CETP) modulator dalcetrapib, however, the mechanism behind this interaction is still unknown. Here, we characterized selective signals at the locus associated with the pharmacogenomic response in human populations and we show that rs1967309 region exhibits signatures of positive selection in several human populations. Furthermore, we identified a variant in CETP, rs158477, which is in long-range linkage disequilibrium with rs1967309 in the Peruvian population. The signal is mainly seen in males, a sex-specific result that is replicated in the LIMAA cohort of over 3400 Peruvians. Analyses of RNA-seq data further suggest an epistatic interaction on CETP expression levels between the two SNPs in multiple tissues, which also differs between males and females. We also detected interaction effects of the two SNPs with sex on cardiovascular phenotypes in the UK Biobank, in line with the sex-specific genotype associations found in Peruvians at these loci. We propose that ADCY9 and CETP coevolved during recent human evolution due to sex-specific selection, which points toward a biological link between dalcetrapib’s pharmacogene ADCY9 and its therapeutic target CETP.