Sexual selection has been suggested to be an important driver of speciation in cichlid fishes of the Great Lakes of Africa, and the presence of male egg dummies is proposed to have played a key role. Here, we investigate how mouthbrooding and egg dummies have evolved in Tanganyikan cichlids, the lineage which seeded the other African radiations, with a special emphasis on the egg dummies. Using modern phylogenetic comparative analyses and a phylogeny including 86% of the 200 described species, we provide formal evidence demonstrating correlated evolution between mouthbrooding and egg dummies in Tanganyikan cichlids. These results concur with existing evidence, suggesting that egg dummies have evolved through sensory exploitation. We also demonstrate that there is a strong evolutionary correlation between the presence of egg dummies and both pre- and post-copulatory sexual selection. Moreover, egg dummy evolution was contingent on the intensity of pre- and post-copulatory sexual selection in Tanganyikan cichlids. In sum, our results provide evidence supporting the hypothesis of egg dummies evolving through sensory exploitation and highlight the role of sexual selection in favouring the evolution and maintenance of this trait.