Captive populations provide a valuable insurance against extinctions in the wild. However, they are also vulnerable to the negative impacts of inbreeding, selection and drift. Genetic information is therefore considered a critical aspect of conservation management. Recent developments in sequencing technologies have the potential to improve the outcomes of management programmes; however, the transfer of these approaches to applied conservation has been slow. The scimitar-horned oryx (Oryx dammah) is a North African antelope that has been extinct in the wild since the early 1980s and is the focus of a large-scale and long-term reintroduction project. To enable the selection of suitable founder individuals, facilitate post-release monitoring and improve captive breeding management, comprehensive genomic resources are required. Here, we used 10X Chromium sequencing together with Hi-C contact mapping to develop a chromosomal-level genome assembly for the species. The resulting assembly contained 29 chromosomes with a scaffold N50 of 100.4 Mb, and displayed strong chromosomal synteny with the cattle genome. Using resequencing data from six additional individuals, we demonstrated relatively high genetic diversity in the scimitar-horned oryx compared to other mammals, despite it having experienced a strong founding event in captivity. Additionally, the level of diversity across populations varied according to management strategy. Finally, we uncovered a dynamic demographic history that coincided with periods of climate variation during the Pleistocene. Overall, our study provides a clear example of how genomic data can uncover valuable insights into captive populations and contributes important resources to guide future management decisions of an endangered species.