African Pygmies practicing a mobile hunter-gatherer lifestyle are phenotypically and genetically diverged from other anatomically modern humans, and they likely experienced strong selective pressures due to their unique lifestyle in the Central African rainforest. To identify genomic targets of adaptation, we sequenced the genomes of four Biaka Pygmies from the Central African Republic and jointly analyzed these data with the genome sequences of three Baka Pygmies from Cameroon and nine Yoruba famers. To account for the complex demographic history of these populations that includes both isolation and gene flow, we fit models using the joint allele frequency spectrum and validated them using independent approaches. Our two best-fit models both suggest ancient divergence between the ancestors of the farmers and Pygmies, 90,000 or 150,000 yr ago. We also find that bidirectional asymmetric gene flow is statistically better supported than a single pulse of unidirectional gene flow from farmers to Pygmies, as previously suggested. We then applied complementary statistics to scan the genome for evidence of selective sweeps and polygenic selection. We found that conventional statistical outlier approaches were biased toward identifying candidates in regions of high mutation or low recombination rate. To avoid this bias, we assigned P-values for candidates using whole-genome simulations incorporating demography and variation in both recombination and mutation rates. We found that genes and gene sets involved in muscle development, bone synthesis, immunity, reproduction, cell signaling and development, and energy metabolism are likely to be targets of positive natural selection in Western African Pygmies or their recent ancestors.