Models proposed to explain sexually selected structures assume that these traits are costly. However, studies investigating the impact of such structures on locomotory costs have produced inconsistent results. Male fiddler crabs possess a large sexually selected claw and are ideal for assessing the impact of a sexually selected trait on the cost of locomotion. Here, we measured the energy expenditure of clawed, declawed and artificially loaded crabs during sustained exercise by measuring oxygen consumption and blood lactate levels. We also measured blood lactate levels of clawed and declawed crabs following a sprint and forced walk to assess energy expenditure during non-sustainable, strenuous locomotion. Clawed and declawed crabs consumed the same amount of oxygen and had the same blood lactate concentration during sustained locomotion, suggesting that the large claw does not increase energetic costs during sustainable locomotion. Following non-sustainable, strenuous locomotion, however, there was a trend for clawed crabs to have higher concentrations of lactate in their blood than declawed crabs, suggesting that bearing a large claw may increase energetic costs during strenuous locomotion and lengthen recovery time. Artificially loaded crabs produced more lactic acid than clawed and declawed crabs during sustainable locomotion, suggesting that compensatory traits help mitigate the energetic cost of carrying the large claw. Overall, our results show that the impact of exaggerated structures on energy expenditure may depend on exercise intensity and highlight the need to examine various locomotory intensities when attempting to assess the costs of bearing a sexually selected trait.