Sexual selection is generally held responsible for the exceptional diversity in secondary sexual traits in animals. Mating system evolution is therefore expected to profoundly affect the covariation between secondary sexual traits and mating success. Whereas there is such evidence at the interspecific level, data within species remain scarce. We here investigate sexual selection acting on the exaggerated male fore femur and the male wing in the common and widespread dung flies Sepsis punctum and S. neocynipsea (Diptera: Sepsidae). Both species exhibit intraspecific differences in mating systems and variation in sexual size dimorphism (SSD) across continents that correlates with the extent of male–male competition. We predicted that populations subject to increased male–male competition will experience stronger directional selection on the sexually dimorphic male foreleg. Our results suggest that fore femur size, width and shape were indeed positively associated with mating success in populations with male‐biased SSD in both species, which was not evident in conspecific populations with female‐biased SSD. However, this was also the case for wing size and shape, a trait often assumed to be primarily under natural selection. After correcting for selection on overall body size by accounting for allometric scaling, we found little evidence for independent selection on any of these size or shape traits in legs or wings, irrespective of the mating system. Sexual dimorphism and (foreleg) trait exaggeration is therefore unlikely to be driven by direct precopulatory sexual selection, but more so by selection on overall size or possibly selection on allometric scaling.