Many behaviors are associated with heritable genetic variation [Kendler and Greenspan (2006) Am J Psychiatry 163:1683-1694]. Genetic mapping has revealed genomic regions or, in a few cases, specific genes explaining part of this variation [Bendesky and Bargmann (2011) Nat Rev Gen 12:809-820]. However, the genetic basis of behavioral evolution remains unclear. Here we investigate the evolution of an innate extended phenotype, bower building, among cichlid fishes of Lake Malawi. Males build bowers of two types, pits or castles, to attract females for mating. We performed comparative genome-wide analyses of 20 bower-building species and found that these phenotypes have evolved multiple times with thousands of genetic variants strongly associated with this behavior, suggesting a polygenic architecture. Remarkably, F1 hybrids of a pit-digging and a castle-building species perform sequential construction of first a pit and then a castle bower. Analysis of brain gene expression in these hybrids showed that genes near behavior-associated variants display behavior-dependent allele-specific expression with preferential expression of the pit-digging species allele during pit digging and of the castle-building species allele during castle building. These genes are highly enriched for functions related to neurodevelopment and neural plasticity. Our results suggest that natural behaviors are associated with complex genetic architectures that alter behavior via cis-regulatory differences whose effects on gene expression are specific to the behavior itself.