Theory predicts a trade-off between investments in precopulatory (ornaments and armaments) and postcopulatory (testes and ejaculates) sexual traits due to the costs associated with their growth and maintenance within the finite energy resources available. Empirical studies, however, have revealed considerable inconsistency in the strength and direction of relationships among these sexual traits. Ambiguity may result from variance in the marginal benefits gained by increasing investments in either pre- or postcopulatory sexual traits. Here, in a broad comparative study, we test the prediction that the relationship between pre- and postcopulatory sexual traits differs among taxa relative to the importance of male-male contest competition within them. We find that covariance between pre- and postcopulatory sexual traits gradually shifts from strongly positive to strongly negative with increasing male-male contest competition. Thus, our findings reveal a potentially unifying explanation for the oftentimes inconsistent relationships in the strength and direction of covariance among sexual traits.