Sexual segregation is widespread throughout the animal kingdom. Although a number of hypotheses have been proposed to account for observed patterns, the generality of the mechanisms remains debated. One possible reason for this is the focus on segregation patterns in large mammals such as ungulates, where the majority of studies are descriptions of a single population. Here, we present the results of a cross‐population comparison of patterns of sexual segregation in the Trinidadian guppy, Poecilia reticulata. We relate observed patterns to experimental quantification of predation risk and sexual harassment of females by males in eight populations. We find that the degree of segregation increases with predation risk, with deeper waters becoming increasingly female biased. Furthermore, we observed that levels of male harassment are lower in deeper water but only in those rivers that contain major guppy predators. We conclude that sexual segregation in guppies is consistent with the predation risk hypothesis: sexual segregation results from a combination of predation risk driving males (the more vulnerable sex) into less risky habitats and females gaining benefits of reduced sexual harassment by remaining in high‐predation environments.