During the last 12,000 years, different cultures around the world have domesticated cereal crops. Several studies investigated the evolutionary history and domestication of cereals such as wheat in the Middle East, rice in Asia or maize in America. The domestication process in Africa has led to the emergence of important cereal crops like pearl millet in Sahelian Africa. In this study, we used 27 microsatellite loci to analyze 84 wild accessions and 355 cultivated accessions originating from the whole pearl millet distribution area in Africa and Asia. We found significantly higher diversity in the wild pearl millet group. The cultivated pearl millet sample possessed 81% of the alleles and 83% of the genetic diversity of the wild pearl millet sample. Using Bayesian approaches, we identified intermediate genotypes between the cultivated and wild groups. We then analyzed the phylogenetic relationship among accessions not showing introgression and found that a monophyletic origin of cultivated pearl millet in West Africa is the most likely scenario supported by our data set.