Admixture has been a pervasive phenomenon in human history, shaping extensively the patterns of population genetic diversity. There is increasing evidence to suggest that admixture can also facilitate genetic adaptation to local environments, i.e., admixed populations acquire beneficial mutations from source populations, a process that we refer to as adaptive admixture. However, the role of adaptive admixture in human evolution and the power to detect it are poorly characterized. Here, we use extensive computer simulations to evaluate the power of several neutrality statistics to detect natural selection in the admixed population, accounting for background selection and assuming different admixture scenarios. We show that two statistics based on admixture proportions, F_adm and LAD, show high power to detect mutations that are beneficial in the admixed population, whereas iHS and F_ST falsely detect neutral mutations that have been selected in the source populations only. By combining F_adm and LAD into a single statistic, we scanned the genomes of 15 worldwide, admixed populations for signatures of adaptive admixture. We confirm that lactase persistence and resistance to malaria have been under adaptive admixture in West Africa and in Madagascar, North Africa and South Asia, respectively. Our approach also uncovers new cases of adaptive admixture, including the APOL1 / MYH9 locus in the Fulani nomads and PKN2 in East Indonesians, involved in resistance to infection and metabolism, respectively. Collectively, our study provides new evidence that adaptive admixture has occurred in multiple human populations, whose genetic history is characterized by periods of isolation and spatial expansions resulting in increased gene flow.