Recent theoretical models predict that the evolutionary diversification of the weapons and ornaments of pre-mating sexual selection should be influenced by trade-offs with male expenditure on ejaculates. However, the patterns of association between secondary sexual traits and ejaculate expenditure are frequently inconsistent in their support of this prediction. We show why consideration of additional life-history, ecological, and mating-system variables is crucial for the interpretation of associations between secondary sexual traits and ejaculate production. Incorporation of these ‘missing variables’ provides evidence that interactions between pre- and post-mating sexual selection can underlie broad patterns of diversification in male weapons and ornaments. We call for more experimental and genetic approaches to uncover trade-offs, as well as for studies that consider the costs of mate-searching.