Natural selection is often assumed to drive parallel functional diversification of the sexes. But males and females exhibit fundamental differences in their biology, and it remains largely unknown how sex differences affect macroevolutionary patterns. On microevolutionary scales, we understand how natural and sexual selection interact to give rise to sex-specific evolution during phenotypic diversification and speciation. Here we show that ignoring sex-specific patterns of functional trait evolution misrepresents the macroevolutionary adaptive landscape and evolutionary rates for 112 species of live-bearing fishes (Poeciliidae). Males and females of the same species evolve in different adaptive landscapes. Major axes of female morphology were correlated with environmental variables but not reproductive investment, while male morphological variation was primarily associated with sexual selection. Despite the importance of both natural and sexual selection in shaping sex-specific phenotypic diversification, species diversification was overwhelmingly associated with ecological divergence. Hence, the inter-predictability of mechanisms of phenotypic and species diversification may be limited in many systems. These results underscore the importance of explicitly addressing sex-specific diversification in empirical and theoretical frameworks of evolutionary radiations to elucidate the roles of different sources of selection and constraint.