Sexual dimorphism is one of the most prevalent, and often the most extreme, examples of phenotypic variation within species, and arises primarily from genomic variation that is shared between females and males. Many sexual dimorphisms arise through sex differences in gene expression, and sex-biased expression is one way that a single, shared genome can generate multiple, distinct phenotypes. Although many sexual dimorphisms are expected to result from sexual selection, and many studies have invoked the possible role of sexual selection to explain sex-specific traits, the role of sexual selection in the evolution of sexually dimorphic gene expression remains difficult to differentiate from other forms of sex-specific selection. In this Review, we propose a holistic framework for the study of sex-specific selection and transcriptome evolution. We advocate for a comparative approach, across tissues, developmental stages and species, which incorporates an understanding of the molecular mechanisms, including genomic variation and structure, governing gene expression. Such an approach is expected to yield substantial insights into the evolution of genetic variation and have important applications in a variety of fields, including ecology, evolution and behaviour.