The 500–1000 cichlid species endemic to Lake Malawi constitute one of the most rapid and extensive radiations of vertebrates known. There is a growing debate over the role natural and sexual selection have played in creating this remarkable assemblage of species. Phylogenetic analysis of the Lake Malawi species flock has been confounded by the lack of appropriate morphological characters and an exceptional rate of speciation, which has allowed ancestral molecular polymorphisms to persist within species. To overcome this problem we used amplified fragment length polymorphism (AFLP) to reconstruct the evolution of species within three genera of Lake Malawi sand-dwelling cichlids that construct elaborate male display platforms, or bowers. Sister taxa with distinct bower morphologies, and that exist in discrete leks separated by only 1–2 m of depth, are divergent in both sexually selected and ecological traits. Our phylogeny suggests that the forces of sexual and ecological selection are intertwined during the speciation of this group and that specific bower characteristics and trophic morphologies have evolved repeatedly. These results suggest that trophic morphology and bower form may be inappropriate characters for delineating taxonomic lineages. Specifically the morphological characters used to describe the genera Lethrinops and Tramitichromis do not define monophyletic clades. Using a combination of behavioural and genetic characters, we were able to identify several cryptic cichlid species on a single beach, which suggests that sand dweller species richness has been severely underestimated.