The spectacular diversity in sexually selected traits among animal taxa has inspired the hypothesis that divergent sexual selection can drive speciation. Unfortunately, speciation biologists often consider sexual selection in isolation from natural selection, even though sexually selected traits evolve in an ecological context: both preferences and traits are often subject to natural selection. Conversely, while behavioural ecologists may address ecological effects on sexual communication, they rarely measure the consequences for population divergence. Herein, we review the empirical literature addressing the mechanisms by which natural selection and sexual selection can interact during speciation. We find that convincing evidence for any of these scenarios is thin. However, the available data strongly support various diversifying effects that emerge from interactions between sexual selection and environmental heterogeneity. We suggest that evaluating the evolutionary consequences of these effects requires a better integration of behavioural, ecological and evolutionary research.