Male genitalia exhibit patterns of divergent evolution driven by sexual selection. In contrast, for many taxonomic groups, female genitalia are relatively uniform and their patterns of evolution remain largely unexplored. Here we quantify variation in the shape of female genitalia across onthophagine dung beetles, and use new comparative methods to contrast their rates of divergence with those of male genitalia. As expected, male genital shape has diverged more rapidly than a naturally selected trait, the foretibia. Remarkably, female genital shape has diverged nearly three times as fast as male genital shape. Our results dispel the notion that female genitalia do not show the same patterns of divergent evolution as male genitalia, and suggest that female genitalia are under sexual selection through their role in female choice.