When closely related individuals mate, they produce inbred offspring, which often have lower fitness than outbred ones. Geographical exogamy, by favouring matings between distant individuals, is thought to be an inbreeding avoidance mechanism; however, no data has clearly tested this prediction. Here, we took advantage of the diversity of matrimonial systems in humans to explore the impact of geographical exogamy on genetic diversity and inbreeding. We collected ethno-demographic data for 1,344 individuals in 16 populations from two Inner Asian cultural groups with contrasting dispersal behaviours (Turko-Mongols and Indo-Iranians) and genotyped genome-wide single nucleotide polymorphisms in 503 individuals. We estimated the population exogamy rate and confirmed the expected dispersal differences: Turko-Mongols are geographically more exogamous than Indo-Iranians. Unexpectedly, across populations, exogamy patterns correlated neither with the proportion of inbred individuals nor with their genetic diversity. Even more surprisingly, among Turko-Mongols, descendants from exogamous couples were significantly more inbred than descendants from endogamous couples, except for large distances (>40 km). Overall, 37% of the descendants from exogamous couples were closely inbred. This suggests that in Inner Asia, geographical exogamy is neither efficient in increasing genetic diversity nor in avoiding inbreeding, which might be due to kinship endogamy despite the occurrence of dispersal.