Identifying the selective forces that initiate ecological speciation is a major challenge in evolutionary biology. Sensory drive has been implicated in speciation in various taxa, largely based on phenotype-environment correlations and signatures of selection in sensory genes. Here, we present a reciprocal transplant experiment revealing species differences in performance in alternative visual environments, consistent with speciation by divergent sensory drive. The closely related cichlids Pundamilia pundamilia and P. nyererei inhabit different visual environments in Lake Victoria and show associated differences in visual system properties. Mimicking the two light environments in the laboratory, we find a substantial reduction in survival of both species when reared in the other species' visual environment. This implies that the observed differences in Pundamilia colour vision are indeed adaptive, and substantiates the implicit assumption in sensory drive speciation models that divergent environmental selection is strong enough to drive divergence in sensory properties.