Sexual selection can target many different types of traits. However, the relative influence of different sexually selected traits during evolutionary divergence is poorly understood. We used the field cricket Teleogryllus oceanicus to quantify and compare how five traits from each of three sexual signal modalities and components diverge among allopatric populations: male advertisement song, cuticular hydrocarbon (CHC) profiles and forewing morphology. Population divergence was unexpectedly consistent: we estimated the among-population (genetic) variance-covariance matrix, D, for all 15 traits, and Dmax explained nearly two-thirds of its variation. CHC and wing traits were most tightly integrated, whereas song varied more independently. We modeled the dependence of among-population trait divergence on genetic distance estimated from neutral markers to test for signatures of selection versus neutral divergence. For all three sexual trait types, phenotypic variation among populations was largely explained by a neutral model of divergence. Our findings illustrate how phenotypic integration across different types of sexual traits might impose constraints on the evolution of mating isolation and divergence via sexual selection.