Balancing selection is defined as a class of selective regimes that maintain polymorphism above what is expected under neutrality. Theory predicts that balancing selection reduces population differentiation, as measured by FST. However, balancing selection regimes in which different sets of alleles are maintained in different populations could increase population differentiation. To tackle the connection between balancing selection and population differentiation, we investigated population differentiation at the HLA genes, which constitute the most striking example of balancing selection in humans. We found that population differentiation of single nucleotide polymorphisms (SNPs) at the HLA genes is on average lower than that of SNPs in other genomic regions. We show that these results require using a computation that accounts for the dependence of FST on allele frequencies. However, in pairs of closely related populations, where genome-wide differentiation is low, differentiation at HLA is higher than in other genomic regions. Such increased population differentiation at HLA genes for recently diverged population pairs was reproduced in simulations of overdominant selection, as long as the fitness of the homozygotes differs between the diverging populations. The results give insight into a possible "divergent overdominance" mechanism for the nature of balancing selection on HLA genes across human populations.