The history of southern Africa involved interactions between indigenous hunter-gatherers and a range of populations that moved into the region. Here we use genome-wide genetic data to show that there are at least two admixture events in the history of Khoisan populations (southern African hunter-gatherers and pastoralists who speak non-Bantu languages with click consonants). One involved populations related to Niger-Congo-speaking African populations, and the other introduced ancestry most closely related to west Eurasian (European or Middle Eastern) populations. We date this latter admixture event to ∼900-1,800 y ago and show that it had the largest demographic impact in Khoisan populations that speak Khoe-Kwadi languages. A similar signal of west Eurasian ancestry is present throughout eastern Africa. In particular, we also find evidence for two admixture events in the history of Kenyan, Tanzanian, and Ethiopian populations, the earlier of which involved populations related to west Eurasians and which we date to ∼2,700-3,300 y ago. We reconstruct the allele frequencies of the putative west Eurasian population in eastern Africa and show that this population is a good proxy for the west Eurasian ancestry in southern Africa. The most parsimonious explanation for these findings is that west Eurasian ancestry entered southern Africa indirectly through eastern Africa.