Environmental heterogeneity is considered a general explanation for phenotypic diversification, particularly when heterogeneity causes populations to diverge via local adaptation. Performance trade-offs, such as those stemming from antagonistic pleiotropy, are thought to contribute to the maintenance of diversity in this scenario. Specifically, alleles that promote adaptation in one environment are expected to promote maladaptation in alternative environments. Contrary to this expectation, however, alleles that underlie locally adaptive traits often fail to exhibit fitness costs in alternative environments. Here, we attempt to explain this paradox by reviewing the results of experimental evolution studies, including a new one of our own, that examined the evolution of trade-offs during adaptation to homogeneous versus heterogeneous environments. We propose that when pleiotropic effects vary, whether or not trade-offs emerge among diverging populations will depend critically on ecology. For example, adaptation to a locally homogeneous environment is more likely to occur by alleles that are antagonistically pleiotropic than adaptation to a locally heterogeneous environment, simply because selection is blind to costs associated with environments that are not experienced locally. Our literature review confirmed the resulting prediction that performance trade-offs were more likely to evolve during selection in homogeneous than heterogeneous environments. The nature of the environmental heterogeneity (spatial versus temporal) and the length of the experiment also contributed in predictable ways to the likelihood that performance trade-offs evolved.