Major theories compete to explain the macroevolutionary trends observed in sexual size dimorphism (SSD) in animals. Quantitative genetic theory suggests that the sex under historically stronger directional selection will exhibit greater interspecific variance in size, with covariation between allometric slopes (male to female size) and the strength of SSD across clades. Rensch's rule (RR) also suggests a correlation, but one in which males are always the more size variant sex. Examining free-living pelagic and parasitic Copepoda, we test these competing predictions. Females are commonly the larger sex in copepod species. Comparing clades that vary by four orders of magnitude in their degree of dimorphism, we show that isometry is widespread. As such we find no support for either RR or for covariation between allometry and SSD. Our results suggest that selection on both sexes has been equally important. We next test the prediction that variation in the degree of SSD is related to the adult sex ratio. As males become relatively less abundant, it has been hypothesized that this will lead to a reduction in both inter-male competition and male size. However, the lack of such a correlation across diverse free-living pelagic families of copepods provides no support for this hypothesis. By comparison, in sea lice of the family Caligidae, there is some qualitative support of the hypothesis, males may suffer elevated mortality when they leave the host and rove for sedentary females, and their female-biased SSD is greater than in many free-living families. However, other parasitic copepods which do not appear to have obvious differences in sex-based mate searching risks also show similar or even more extreme SSD, therefore suggesting other factors can drive the observed extremes.