Sexual dimorphism is a consequence of both sex-specific selection and potential constraints imposed by a shared genetic architecture underlying sexually homologous traits. However, genetic architecture is expected to evolve to mitigate these constraints, allowing the sexes to approach their respective optimal mean phenotype. In additon, sex-specific selection is expected to generate sexual dimorphism of trait covariance structure (e.g. the phenotypic covariance matrix, P) but previous empirical work has not fully addressed this prediction. We compared patterns of phenotypic divergence, for three traits in 7 taxa in the insect genus Phymata (Reduviidae), to ask whether sexual dimorphism in P is common and whether its magnitude relates to the extent of sexual dimorphism in trait means. We found that sexual dimorphism in both mean and covariance structure was pervasive but also that the multivariate distance between sex-specific means was correlated with sex differences in the leading eigenvector of P, while accounting for uncertainty in phylogenetic relationships. Collectively, our findings suggest that sexual dimorphism in covariance structure may be a common but underappreciated feature of dioecious populations.