Natural hybridization may result in the exchange of genetic material between divergent lineages and even the formation of new taxa. Many of the Neo-Darwinian architects argued that, particularly for animal clades, natural hybridization was maladaptive. Recent evidence, however, has falsified this hypothesis, instead indicating that this process may lead to increased biodiversity through the formation of new species. Although such cases of hybrid speciation have been described in plants, fish and insects, they are considered exceptionally rare in mammals. Here we present evidence for a marine mammal, Stenella clymene, arising through natural hybridization. We found phylogenetic discordance between mitochondrial and nuclear markers, which, coupled with a pattern of transgressive segregation seen in the morphometric variation of some characters, support a case of hybrid speciation. S. clymene is currently genetically differentiated from its putative parental species, Stenella coerueloalba and Stenella longisrostris, although low levels of introgressive hybridization may be occurring. Although non-reticulate forms of evolution, such as incomplete lineage sorting, could explain our genetic results, we consider that the genetic and morphological evidence taken together argue more convincingly towards a case of hybrid speciation. We anticipate that our study will bring attention to this important aspect of reticulate evolution in non-model mammal species. The study of speciation through hybridization is an excellent opportunity to understand the mechanisms leading to speciation in the context of gene flow.