Invasive species that rapidly spread throughout novel distribution ranges are prime models to investigate climate-driven phenotypic diversification on a contemporary scale. Previous studies on adaptive diversification along latitudinal gradients in fish have mainly considered body size and reported either increased or decreased body size towards higher latitudes (i.e. Bergmann’s rule). Our study is the first to investigate phenotypic divergence in multiple traits, including sexually selected traits (size and shape of the male copulatory organ, the gonopodium) of invasive Gambusia affinis in China. We studied body size, life history traits and morphological variation across populations spanning 17 degrees of latitude and 16 degrees of longitude. Even though we found phenotypic variation along climatic gradients to be strongest in naturally selected traits, some sexually selected traits also showed systematic gradual divergence. For example, males from southern populations possessed wider gonopodia with increased armament. Generally, males and females diverged in response to different components of climatic gradients (latitudinal or longitudinal variation) and in different trait suites. We discuss that not only temperature regimes, but also indirect effects of increased resource and mate competition (as a function of different extrinsic overwinter mortality rates) alter the selective landscape along climatic gradients.