The climate is often evoked to explain broad-scale clines of body size, yet its involvement in the processes that generate size inequality in the two sexes (sexual size dimorphism) remains elusive. Here, we analyse climatic clines of sexual size dimorphism along a wide elevation gradient (i) among grasshopper species in a phylogenetically controlled scenario and (ii) within species differing in distribution and cold tolerance, to highlight patterns generated at different time scales, mainly evolutionary (among species or higher taxa) and ontogenetic or microevolutionary (within species). At the interspecific level, grasshoppers were slightly smaller and less dimorphic at high elevations. These clines were associated with gradients of precipitation and sun exposure, which are likely indicators of other factors that directly exert selective pressures, such as resource availability and conditions for effective thermoregulation. Within species, we found a positive effect of temperature and a negative effect of elevation on body size, especially on condition-dependent measures of body size (total body length rather than hind femur length) and in species inhabiting the highest elevations. In spite of a certain degree of species-specific variation, females tended to adjust their body size more often than males, suggesting that body size in females can evolve faster among species and can be more plastic or dependent on nutritional conditions within species living in adverse climates. Natural selection on female body size may therefore prevail over sexual selection on male body size in alpine environments, and abiotic factors may trigger consistent phenotypic patterns across taxonomic scales.