Sperm display remarkable morphological diversity among even closely related species, a pattern that is widely attributed to postcopulatory sexual selection. Surprisingly few studies have used phylogenetic analyses to discern the details of evolutionary diversification in ornaments and armaments subject to sexual selection, and the origins of novel sperm traits and their subsequent modification are particularly poorly understood. Here we investigate sperm evolution in diving beetles (Dytiscidae), revealing dramatic diversification in flagellum length, head shape, presence of sperm heteromorphism, and the presence/type of sperm conjugation, an unusual trait where two or more sperm unite for motility or transport. Sperm conjugation was found to be the ancestral condition in diving beetles, with subsequent diversification into three forms, each exhibiting varying degrees of evolutionary loss, convergence, and recurrence. Sperm head shape, but not length or heteromorphism, was found to evolve in a significantly correlated manner with conjugation, consistent with the different mechanisms of head alignment and binding required for the different forms of conjugation. Our study reveals that sperm morphological evolution is channeled along particular evolutionary pathways (i.e., conjugate form), yet subject to considerable diversification within those pathways through modification in sperm length, head shape, and heteromorphism.