We find that most disease risk alleles from genome-wide association studies follow the expected patterns of divergence between Europe and North Africa, with the main exception of multiple sclerosis. Human genetic diversity in southern Europe is higher than in other regions of the continent. This difference is attributed to post-glacial expansions, the demic diffusion of agriculture from the Middle East and gene flow from Africa. Using SNP data from 2,099 individuals in 43 populations, we show that estimates of recent common ancestry between Europe and Africa are significantly higher when gene flow from North Africans rather than sub-Saharan Africans is considered. The gradient in North African ancestry is consistent with previous observations of low levels of sharing with sub-Saharan Africa and is independent of recent gene flow from the Middle East. The source of genetic diversity in southern Europe has important biomedical implications: we find that most disease risk alleles from genome-wide association studies follow the expected patterns of divergence between Europe and North Africa, with the major exception of multiple sclerosis.