Fossil fishes are among the rarest in volcanic oceanic islands, their presence providing invaluable data for the understanding of more general (palaeo)biogeographical patterns and processes. Santa Maria Island (Azores Archipelago) is renowned for its palaeontological heritage, with representatives of several phyla, including the Chordata. We report on the fossil fishes, resulting in an increase in the number of Pliocene fishes from the Azores to 11 taxa: seven Chondrichthyes and at least four Actinopterygii. The genus Sparisoma is reported for the first time in the fossil record. The presence of fossil remains of the parrotfish Sparisoma cretense in Last Interglacial outcrops is significant, because it posits a setback for the theory that most of the present-day Azorean marine species colonized the area after the last glacial episode. Our multidisciplinary approach combines palaeontological data with ecological and published genetic data, offering an alternative interpretation. We suggest that most of the Azorean shallow-water subtropical and temperate marine species living in the archipelago during the Last Interglacial were not affected by the decrease in sea surface temperatures during the last glacial episode. We also predict low genetic diversity for fish species presently living in the Azores and ecologically associated with fine sediments, as a result of the remobilization and sediment transport to abyssal depths, during the Last Glacial episode; these are viewed as post-glacial colonizers or as ‘bottleneck’ survivors from the Last Glaciation.