Experimental studies demonstrate the existence of phenotypic diversity despite constant genotype and environment. Theoretical models based on a single phenotypic character predict that during an adaptation event, phenotypic noise should be positively selected far from the fitness optimum because it increases the fitness of the genotype, and then be selected against when the population reaches the optimum. It is suggested that because of this fitness gain, phenotypic noise should promote adaptive evolution. However, it is unclear how the selective advantage of phenotypic noise is linked to the rate of evolution, and whether any advantage would hold for more realistic, multidimensional phenotypes. Indeed, complex organisms suffer a cost of complexity, where beneficial mutations become rarer as the number of phenotypic characters increases. Using a quantitative genetics approach, we first show that for a one-dimensional phenotype, phenotypic noise promotes adaptive evolution on plateaus of positive fitness, independently from the direct selective advantage on fitness. Second, we show that for multidimensional phenotypes, phenotypic noise evolves to a low-dimensional configuration, with elevated noise in the direction of the fitness optimum. Such a dimensionality reduction of the phenotypic noise promotes adaptive evolution and numerical simulations show that it reduces the cost of complexity.