Multicomponent signals are found throughout the animal kingdom, but how these elaborate displays evolve and diversify is still unclear. Here, we explore the evolution of the woodpecker drum display. Two components of this territorial, sexually selected signal, drum speed and drum length, are used by territory holders to assess the threat level of an intruding drummer. We explore the coevolution of these display components both among and within species. Among species, we find evidence for strong coevolution of drum speed and length. Within species, we find that drum speed and length vary largely independent of each other. However, in some species, there is evidence of covariation in certain portions of the drum length distribution. The observed differences in component covariation at the macro- and microevolutionary scales highlights the importance of studying signal structure both among and within species. In all cases of covariation at both evolutionary scales, the relationship between drum speed and length is positive, indicating mutual elaboration of display components, and not a performance trade-off.