Sexual selection is proposed to be an important driver of speciation and phenotypic diversification in animal systems. However, previous phylogenetic tests have produced conflicting results, perhaps because they have focused on a single signalling modality (visual ornaments), whereas sexual selection may act on alternative signalling modalities (e.g. acoustic ornaments). Here, we compile phenotypic data from 259 avian sister species pairs to assess the relationship between visible plumage dichromatism—a standard index of sexual selection in birds—and macroevolutionary divergence in the other major avian signalling modality: song. We find evidence for a strong negative relationship between the degree of plumage dichromatism and divergence in song traits, which remains significant even when accounting for other key factors, including habitat type, ecological divergence and interspecific interactions. This negative relationship is opposite to the pattern expected by a straightforward interpretation of the sexual selection–diversification hypothesis, whereby higher levels of dichromatism indicating strong sexual selection should be related to greater levels of mating signal divergence regardless of signalling modality. Our findings imply a ‘trade-off’ between the elaboration of visual ornaments and the diversification of acoustic mating signals, and suggest that the effects of sexual selection on diversification can only be determined by considering multiple alternative signalling modalities.