Large-scale genotyping of SNPs has shown a great promise in identifying markers that could be linked to diseases. One of the major obstacles involved in performing these studies is that the underlying population substructure could produce spurious associations. Population substructure can be caused by the presence of two distinct subpopulations or a single pool of admixed individuals. In this work, we focus on the latter, which is significantly harder to detect in practice. New advances in this research direction are expected to play a key role in identifying loci that are different among different populations and are still associated with a disease. We evaluated current methods for inference of population substructure in such cases and show that they might be quite inaccurate even in relatively simple scenarios. We therefore introduce a new method, LAMP (Local Ancestry in adMixed Populations), which infers the ancestry of each individual at every single-nucleotide polymorphism (SNP). LAMP computes the ancestry structure for overlapping windows of contiguous SNPs and combines the results with a majority vote. Our empirical results show that LAMP is significantly more accurate and more efficient than existing methods for inferrring locus-specific ancestries, enabling it to handle large-scale datasets. We further show that LAMP can be used to estimate the individual admixture of each individual. Our experimental evaluation indicates that this extension yields a considerably more accurate estimate of individual admixture than state-of-the-art methods such as STRUCTURE or EIGENSTRAT, which are frequently used for the correction of population stratification in association studies.