The American continent was the last to be occupied by modern humans, and native populations bear the marks of recent expansions, bottlenecks, natural selection, and population substructure. Here we investigate how this demographic history has shaped genetic variation at the strongly selected HLA loci. In order to disentangle the relative contributions of selection and demography process, we assembled a dataset with genome-wide microsatellites and HLA-A, -B, -C, and -DRB1 typing data for a set of 424 Native American individuals. We find that demographic history explains a sizeable fraction of HLA variation, both within and among populations. A striking feature of HLA variation in the Americas is the existence of alleles which are present in the continent but either absent or very rare elsewhere in the world. We show that this feature is consistent with demographic history (i.e., the combination of changes in population size associated with bottlenecks and subsequent population expansions). However, signatures of selection at HLA loci are still visible, with significant evidence selection at deeper timescales for most loci and populations, as well as population differentiation at HLA loci exceeding that seen at neutral markers.