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Life underground has provided remarkable examples of adaptive evolution in subterranean mammals; however, genome‐wide adaptive evolution to underground stresses still needs further research. There are approximately 250 species of subterranean mammals across three suborders and six families. These species not only inhabit hypoxic and dark burrows but also exhibit evolved adaptation to hypoxia, cancer resistance, and specialized sensory systems, making them an excellent model of evolution. The adaptive evolution of subterranean mammals has attracted great attention and needs further study. In the present study, phylogenetic analysis of 5,853 single‐copy orthologous gene families of five subterranean mammals (Nannospalax galili, Heterocephalus glaber, Fukomys damarensis, Condylura cristata, and Chrysochloris asiatica) showed that they formed fou distinct clusters. This result is consistent with the traditional systematics of these species. Furthermore, comparison of the high‐quality genomes of these five subterranean mammalian species led to the identification of the genomic signatures of adaptive evolution. Our results show that the five subterranean mammalian did not share positively selected genes but had similar functional enrichment categories, including hypoxia tolerance, immunity promotion, and sensory specialization, which adapted to the environment of underground stresses. Moreover, variations in soil hardness, climate, and lifestyles have resulted in different molecular mechanisms of adaptation to the hypoxic environment and different degrees of visual degradation. These results provide insights into the genome‐wide adaptive evolution to underground stresses in subterranean mammals, with special focus on the characteristics of hypoxia adaption, immunity promotion, and sensory specialization response to the life underground. [ABSTRACT FROM AUTHOR]