Abstract Sexual signals are important in speciation, but understanding their evolution is complex as these signals are often composed of multiple, genetically interdependent components. To understand how signals evolve, we thus need to consider selection responses in multiple components and account for the genetic correlations among components. One intriguing possibility is that selection changes the genetic covariance structure of a multicomponent signal in a way that facilitates a response to selection. However, this hypothesis remains largely untested empirically. In this study, we investigate the evolutionary response of the multicomponent female sex pheromone blend of the moth Heliothis subflexa to 10 generations of artificial selection. We observed a selection response of about three‐quarters of a phenotypic standard deviation in the components under selection. Interestingly, other pheromone components that are biochemically and genetically linked to the components under selection did not change. We also found that after the onset of selection, the genetic covariance structure diverged, resulting in the disassociation of components under selection and components not under selection across the first two genetic principle components. Our findings provide rare empirical support for an intriguing mechanism by which a sexual signal can respond to selection without possible constraints from indirect selection responses.