The study of phenotypic evolution in island birds following colonization is a classic topic in island biogeography. However, few studies explicitly test for the role of selection in shaping trait evolution in these taxa. Here, we studied the Azores woodpigeon (Columba palumbus azorica) to investigate differences between island and mainland populations, between females and males, and interactions between geographical origin and sex, by using spectrophotometry to quantify plumage colour and linear measurements to examine external and skeletal morphology. We further tested if selection explains the observed patterns by comparing phenotypic differentiation to genome‐wide neutral differentiation. Our findings are consistent with several predictions of morphological evolution in island birds, namely differences in bill, flight and leg morphology and coloration differences between island and mainland birds. Interestingly, some plumage and morphological traits that differ between females and males respond differently according to geographical origin. Sexual dimorphism in colour saturation is more pronounced in the mainland, but this is driven by selection on female plumage coloration. Differences in flight morphology between females and males are also more pronounced in the mainland, possibly to accommodate contrasting pressures between migration and flight displays. Overall, our results suggest that phenotypic differentiation between mainland and island populations leading to divergent sexual dimorphism patterns can arise from selection acting on both females and males on traits that are likely under the influence of natural and sexual selection.