The availability of genome sequences from 16 anopheline species provides unprecedented opportunities to study the evolution of reproductive traits relevant for malaria transmission. In Anopheles gambiae, a likely candidate for sexual selection is male 20-hydroxyecdysone (20E). Sexual transfer of this steroid hormone as part of a mating plug dramatically changes female physiological processes intimately tied to vectorial capacity. By combining phenotypic studies with ancestral state reconstructions and phylogenetic analyses, we show that mating plug transfer and male 20E synthesis are both derived characters that have coevolved in anophelines, driving the adaptation of a female 20E-interacting protein that promotes oogenesis via mechanisms also favoring Plasmodium survival. Our data reveal coevolutionary dynamics of reproductive traits between the sexes likely to have shaped the ability of anophelines to transmit malaria.