Natural selection varies widely among locations of a species’ range, favouring population divergence and adaptation to local environmental conditions. Selection also differs between females and males, favouring the evolution of sexual dimorphism. Both forms of within-species evolutionary diversification are widely studied, though largely in isolation, and it remains unclear whether environmental variability typically generates similar or distinct patterns of selection on each sex. Studies of sex-specific local adaptation are also challenging because they must account for genetic correlations between female and male traits, which may lead to correlated patterns of trait divergence between sexes, whether or not local selection patterns are aligned or differ between the sexes. We quantified sex-specific divergence in five clinally variable traits in Drosophila melanogaster that individually vary in their magnitude of cross-sex genetic correlation (i.e., from moderate to strongly positive). In all five traits, we observed parallel male and female clines, regardless of the magnitude of their genetic correlation. These patterns imply that parallel spatial divergence of female and male traits is a reflection of sexually concordant directional selection imposed by local environmental conditions. In such contexts, genetic correlations between the sexes promote, rather than constrain, local adaptation to a spatially variable environment.