Interspecific variation in sex-specific contributions to prenatal parental care, including avian nest building, is becoming increasingly better understood as we amass more information on more species. We examined whether sex-specific nest building contributions covary with the colouration of parents and their eggs in 521 species of Western Palearctic birds. Having colourful plumage and laying colourful eggs are costly because of the deposition of pigments in feathers and eggs and/or forming costly nanostructural substrates in feathers, and so it might be expected that those costs covary with the costs of nest building at the level of individuals and/or across species to produce of a suite of codivergent traits. Using a phylogenetically informed approach, we tested the hypothesis that species in which females alone invest energy building nests exhibit less sexual plumage dichromatism. However, we found comparative support for the opposite of this prediction. We then tested that species in which females alone build nests lay more colourful, and costlier, eggs because the dual costs of building nests and laying colourful eggs can only be borne by higher quality individuals. As expected, we found that species in which females build nests alone or together with males are more likely to lay colourfully pigmented eggs relative to species in which only males build nests. Finally, stochastic character mapping provided evidence of the repeated evolution of female-only nest building. Interspecific sex differences in plumage colouration therefore covary in a complex manner with female pre- (nest building) and post-copulatory (egg production) investment in reproduction.