In many sexually dimorphic and polygynous species, individuals exhibit social segregation by grouping with others of their own sex. Several proximate mechanisms have been proposed to explain social segregation: female avoidance of males, male avoidance of females, avoidance of harassment, male social affinity, female social affinity and activity budget asynchrony. Some of these have been tested in ungulate species, but few previous studies have been able to rigorously test, or distinguish between, these mechanisms because they have failed to examine the fission/fusion dynamics of groups. We tested these proximate mechanisms simultaneously in western grey kangaroos Macropus fuliginosus, by examining whether females, small males or large males instigated segregation by leaving mixed-sex groups or joining individuals of their own sex or size class. Females, small males and large males left mixed-sex groups as if leaving were independent of sex–size class. In contrast, large males joined male-only groups more frequently than expected. These results suggest that the need for males to maintain contact with other males can contribute to the cohesion of male-only groups and promote segregation. As male–male competition occurs in many polygynous species that sexually segregate, a comparable mechanism might be operating in other taxa, and should be examined further.