Sexual selection has long been thought to promote speciation, but evidence is inconclusive. In Odonata - which includes dragonflies and damselflies-, wing pigmentation has been found to be influenced by sexual selection. Past evidence shows that wing pigmentation in males is a driver of speciation in damselflies. However, whether sexual dimorphism per se is associated with species diversification rates has not been tested. Here we test whether wing pigmentation sexual dimorphism influences diversification rates in a supertree of 1,239 species, the most comprehensive phylogeny inferred for the group. We find that wing pigmentation among dimorphic males is associated with higher species diversification rates in damselflies but not in dragonflies.  This study presents the first evidence of the role of species sexual dimorphism in species diversification in a clade identified as a marker of habitat quality. In the face of accelerating biodiversity loss, uncovering diversification drivers is of pressing importance.