The American pika is a thermally sensitive, alpine lagomorph species. Recent climate-associated population extirpations and genetic signatures of reduced population sizes range-wide indicate the viability of this species is sensitive to climate change. To test for potential adaptive responses to climate stress, we sampled pikas along two elevational gradients (each ~470 to 1640 m) and employed three outlier detection methods, BAYESCAN, LFMM, and BAYPASS, to scan for genotype-environment associations in samples genotyped at 30,763 SNP loci. We resolved 173 loci with robust evidence of natural selection detected by either two independent analyses or replicated in both transects. A BLASTN search of these outlier loci revealed several genes associated with metabolic function and oxygen transport, indicating natural selection from thermal stress and hypoxia. We also found evidence of directional gene flow primarily downslope from large high-elevation populations and reduced gene flow at outlier loci, a pattern suggesting potential impediments to the upward elevational movement of adaptive alleles in response to contemporary climate change. Finally, we documented evidence of reduced genetic diversity associated the south-facing transect and an increase in corticosterone stress levels associated with inbreeding. This study suggests the American pika is already undergoing climate-associated natural selection at multiple genomic regions. Further analysis is needed to determine if the rate of climate adaptation in the American pika and other thermally sensitive species will be able to keep pace with rapidly changing climate conditions.