Sex-dependent gene expression is likely an important genomic mechanism that allows sex-specific adaptation to environmental changes. Among Drosophila species, sex-biased genes display remarkably consistent evolutionary patterns; male-biased genes evolve faster than unbiased genes in both coding sequence and expression level, suggesting sex differences in selection through time. However, comparatively little is known of the evolutionary process shaping sex-biased expression within species. Latitudinal clines offer an opportunity to examine how changes in key ecological parameters also influence sex-specific selection and the evolution of sex-biased gene expression. We assayed male and female gene expression in Drosophila serrata along a latitudinal gradient in eastern Australia spanning most of its endemic distribution. Analysis of 11 631 genes across eight populations revealed strong sex differences in the frequency, mode and strength of divergence. Divergence was far stronger in males than females and while latitudinal clines were evident in both sexes, male divergence was often population specific, suggesting responses to localized selection pressures that do not covary predictably with latitude. While divergence was enriched for male-biased genes, there was no overrepresentation of X-linked genes in males. By contrast, X-linked divergence was elevated in females, especially for female-biased genes. Many genes that diverged in D. serrata have homologs also showing latitudinal divergence in Drosophila simulans and Drosophila melanogaster on other continents, likely indicating parallel adaptation in these distantly related species. Our results suggest that sex differences in selection play an important role in shaping the evolution of gene expression over macro- and micro-ecological spatial scales.