A key endeavour in evolutionary physiology is to identify sources of among- and within-individual variation in resting metabolic rate (RMR). Although males and females often differ in whole-organism RMR due to sexual size dimorphism, sex differences in RMR sometimes persist after conditioning on body mass, suggesting phenotypic differences between males and females in energy-expensive activities contributing to RMR. One potential difference is locomotor activity, yet its relationship with RMR is unclear and different energy budget models predict different associations. We quantified locomotor activity (walking) over 24h and RMR (overnight) on 232 males and 245 females Drosophila melanogaster that were either mated or maintained as virgins between two sets of measurements. Accounting for body mass, sex, and reproductive status, RMR and activity were significantly and moderately repeatable (RMR: R=0.33±0.06; activity: R=0.58±0.03). RMR and activity were positively correlated among (rind=0.26±0.09) but not within (re=0.05±0.06) individuals. Moreover, activity varied throughout the day and between the sexes. Partitioning our analysis by sex and activity by time of day revealed that all among-individual correlations were positive and significant in males, but non-significant or even significantly negative in females. Such differences in the RMR-activity covariance suggests fundamental differences in how the sexes manage their energy budget.