Sexual selection is considered the major driver for the evolution of sex differences. However, the eco-evolutionary dynamics of sexual selection and their role for a population’s adaptive potential to respond to environmental change have only recently been explored. Theory predicts that sexual selection promotes adaptation at a low demographic cost only if net selection is stronger on males compared to females. We used a comparative approach to show that net selection is indeed stronger in males and provide preliminary support that this sex-bias is associated with sexual selection. Given that both sexes share the vast majority of their genes, our findings corroborate the notion that the genome is often confronted with a more stressful environment when expressed in males. Collectively, our study supports one of the long-standing key assumptions required for sexual selection to bolster adaptation, and sexual selection may therefore enable some species to track environmental change more efficiently.