Mammals exhibit a diverse range of limb morphologies that are associated with different locomotor ecologies and structural mechanics. Biologists, however, have rarely investigated whether these factors have different effects on the external and internal morphologies of limb bones. Here, we used squirrels (Sciuridae) as a model clade to examine the effects of locomotor mode and allometry on the size, external shape, and internal structure of the two major limb bones, the humerus and femur. We quantified these humeral and femoral traits using 3D geometric morphometrics and bone structure analyses on a sample of 76 squirrel species across their four major ecotypes. We found significant allometric patterns among squirrel ecotypes in the internal structures of humeri and femora but not in their external shapes. Although humeral and femoral external shape statistically differ among squirrel ecotypes, these associations are lost when analyses account for phylogenetic relationships among species. That all ecotypes are phylogenetically clustered suggests humeral and femoral shape variation partitioned early between clades and their ecomorphologies were maintained to the present. In contrast, interactions between size and ecotype predict variation of the internal structures of these long bones after accounting for phylogenetic relationships. The humeri and femora of ground and tree squirrels tend to exhibit increased bone compactness and more robust diaphyses with increasing bone size, adaptations that would facilitate more efficient digging behaviors. Conversely, there were no allometric changes in internal bone structure of gliding squirrels possibly due to constraints for gliding. Lastly, we found that the external shape of the limbs was associated with changes in cross-sectional shape and diaphysis elongation but not with global bone compactness. Overall, these results indicate that mechanical constraints, locomotor ecology, and evolutionary history may enact different pressures on the external and internal morphology of limb bones in mammals.