Myotragus balearicus was the last living representative of an extinct caprine lineage endemic to the Balearic Islands (Western Mediterranean), which became extinct following the arrival of humans around 4300 years ago. The tribal attribution of Myotragus based on morphological analyses has been complicated due to its unusual morphological characteristics, though most studies agree on its inclusion within Caprini (also including modern sheep and goats). Analyses of short fragments of ancient mitochondrial DNA have suggested Ovis (comprising extant sheep) as sister taxon to Myotragus, although other authors have suggested alternative placements within Caprini using the same data. In the present study, we present a complete high-depth mitochondrial genome of M. balearicus, which allowed us to test the previously proposed Ovis/Myotragus clade and revealed a closer relationship between Myotragus and the takin (Budorcas taxicolor). The results of our molecular clock analyses suggested that the split between Myotragus and Budorcas occurred around 7.1 Mya, which is compatible with the arrival of the ancestor of Myotragus to the Balearic Islands during the Messinian Salinity Crisis (5.97–5.33 Mya). We also conducted a preliminary phylogeographic analysis of M. balearicus in Mallorca, which revealed weak spatial and temporal structure within the population during the Holocene.