Recent population genetic studies have provided valuable insights on the demographic history of our species. However, some issues such as the dating of the first demographic expansions in human populations remain puzzling. Indeed, although a few genetic studies argued that the first human expansions were concomitant with the Neolithic transition, many others found signals of expansion events starting during the Palaeolithic. Here we performed a simulation study to show that these contradictory findings may result from the differences in the genetic markers used, especially if two successive expansion events occurred. For a large majority of replicates for each scenario tested, microsatellite data allow only detecting the recent expansion event in that case, whereas sequence data allow only detecting the ancient expansion. Combined with previous real data analyses, our results bring support to the ideas that (i) a first human expansions started during the Palaeolithic period, (ii) a second expansion event occurred later, concomitantly with the Neolithic transition.