The transition from hunting and gathering to farming in Europe was brought upon by arrival of new people carrying novel material culture and genetic ancestry. The exact nature and scale of the transition—both material and genetic—varied in different parts of Europe [1–7]. Farming-based economies appear relatively late in Northeast Europe, and the extent to which they involve change in genetic ancestry is not fully understood due to the lack of relevant ancient DNA data. Here we present the results from new low-coverage whole-genome shotgun sequence data from five hunter-gatherers and five first farmers of Estonia whose remains date to 4,500 to 6,300 years before present. We find evidence of significant differences between the two groups in the composition of autosomal as well as mtDNA, X chromosome, and Y chromosome ancestries. We find that Estonian hunter-gatherers of Comb Ceramic culture are closest to Eastern hunter-gatherers, which is in contrast to earlier hunter-gatherers from the Baltics, who are close to Western hunter-gatherers [8, 9]. The Estonian first farmers of Corded Ware culture show high similarity in their autosomes with European hunter-gatherers, Steppe Eneolithic and Bronze Age populations, and European Late Neolithic/Bronze Age populations, while their X chromosomes are in addition equally closely related to European and Anatolian and Levantine early farmers. These findings suggest that the shift to intensive cultivation and animal husbandry in Estonia was triggered by the arrival of new people with predominantly Steppe ancestry but whose ancestors had undergone sex-specific admixture with early farmers with Anatolian ancestry.