Recent theory posits that adaptive evolution of reproductive proteins should depend on rates of female remating. In particular, selection on reproductive proteins is proposed to be weak unless females remate frequently, in which case cryptic female choice and sperm competition impose stronger selection. Here, we test these predictions by explicitly examining the role of selection in the molecular evolution of sperm genes in Lepidoptera, the butterflies and moths. Males of this order produce both fertilizing eupyrene sperm and a secondary apyrene type that lacks DNA. Based on population genetic analyses in two species, the monandrous Carolina sphinx moth and the highly polyandrous monarch butterfly, we see evidence for increased selection in fertilizing sperm, but only in the polyandrous species. This signal comes primarily from a decrease in non-synonymous polymorphism in sperm proteins compared to the rest of the genome, indicative of strong purifying selection. Investigation of the distribution of fitness effects of new non-synonymous mutations in monarch sperm confirms stronger selection on sperm proteins in monarchs, with very few neutral variants and weakly deleterious variants and a preponderance of strongly deleterious variants. Additionally, sperm genes in the monarch show an elevation of beneficial variants compared to the rest of the genome, suggesting a role for increased positive selection. Our results suggest that sperm competition can be a powerful selective force at the sequence level as well.