Sexual selection is considered the major driver for the evolution of sex differences. However, the eco-evolutionary dynamics of sexual selection and their role for a population’s adaptive potential to respond to environmental change have only recently been explored. Theory predicts that sexual selection promotes adaptation at a low demographic cost only if sexual selection is aligned with natural selection and if net selection is stronger on males compared to females. We used a comparative approach to show that net selection is indeed stronger in males and provide preliminary support that this sex bias is associated with sexual selection. Given that both sexes share the vast majority of their genes, our findings corroborate the notion that the genome is often confronted with a more stressful environment when expressed in males. Collectively, our study supports one of the long-standing key assumptions required for sexual selection to bolster adaptation, and sexual selection may therefore enable some species to track environmental change more efficiently.