Ray-finned fishes constitute the dominant radiation of vertebrates with over 32,000 species. Although molecular phylogenetics has begun to disentangle major evolutionary relationships within this vast section of the Tree of Life, there is no widely available approach for efficiently collecting phylogenomic data within fishes, leaving much of the enormous potential of massively parallel sequencing technologies for resolving major radiations in ray-finned fishes unrealized. Here, we provide a genomic perspective on longstanding questions regarding the diversification of major groups of ray-finned fishes through targeted enrichment of ultraconserved nuclear DNA elements (UCEs) and their flanking sequence. Our workflow efficiently and economically generates data sets that are orders of magnitude larger than those produced by traditional approaches and is well-suited to working with museum specimens. Analysis of the UCE data set recovers a well-supported phylogeny at both shallow and deep time-scales that supports a monophyletic relationship between Amia and Lepisosteus (Holostei) and reveals elopomorphs and then osteoglossomorphs to be the earliest diverging teleost lineages. Our approach additionally reveals that sequence capture of UCE regions and their flanking sequence offers enormous potential for resolving phylogenetic relationships within ray-finned fishes.