Sex is a fundamental trait that is determined, depending on the species, by different environmental and/or genetic factors, including various types of sex chromosomes. However, while the functioning and evolution of sex chromosomes have been explored in species scattered across the eukaryotic tree of life, little is known about tempo and mode of sex chromosome evolution in closely related species. Here, we examined the dynamics of sex chromosome evolution in an archetypical example of adaptive radiation, the cichlid fishes of African Lake Tanganyika. Through inspection of male and female genomes of 244 cichlid taxa and the analysis of transcriptomes from 66 taxa, we identified the sex chromosomes in 79 taxa, involving 12 different linkage groups. We estimated that Tanganyikan cichlids have the highest rates of sex chromosome turnover and heterogamety transitions known to date. That the recruitments of chromosomes as sex chromosomes is not at random and that some chromosomes have convergently emerged as sex chromosomes in cichlids, provides empirical support for the limited options hypothesis of sex chromosome evolution.