The spectacular diversity in sexually selected traits in the animal kingdom has inspired the hypothesis that sexual selection can promote species divergence. In recent years, several studies have attempted to test this idea by correlating species richness with estimates of sexual selection across phylogenies. These studies have yielded mixed results and it remains unclear whether the comparative evidence can be taken as generally supportive. Here, we conduct a meta-analysis of the comparative evidence and find a small but significant positive overall correlation between sexual selection and speciation rate. However, we also find that effect size estimates are influenced by methodological choices. Analyses that included deeper phylogenetic nodes yielded weaker correlations, and different proxies for sexual selection showed different relationships with species richness. We discuss the biological and methodological implications of these findings. We argue that progress requires more representative sampling and justification of chosen proxies for sexual selection and speciation rate, as well as more mechanistic approaches.