Odonata (dragonflies and damselflies) exhibit a range of sexual size dimorphism (SSD) that includes species with male-biased (males > females) or female-biased SSD (males < females) and species exhibiting nonterritorial or territorial mating strategies. Here, we use phylogenetic comparative analyses to investigate the influence of sexual selection on SSD in both suborders: dragonflies (Anisoptera) and damselflies (Zygoptera). First, we show that damselflies have male-biased SSD, and exhibit an allometric relationship between body size and SSD, that is consistent with Rensch's rule. Second, SSD of dragonflies is not different from unit, and this suborder does not exhibit Rensch's rule. Third, we test the influence of sexual selection on SSD using proxy variables of territorial mating strategy and male agility. Using generalized least squares to account for phylogenetic relationships between species, we show that male-biased SSD increases with territoriality in damselflies, but not in dragonflies. Finally, we show that nonagile territorial odonates exhibit male-biased SSD, whereas male agility is not related to SSD in nonterritorial odonates. These results suggest that sexual selection acting on male sizes influences SSD in Odonata. Taken together, our results, along with avian studies (bustards and shorebirds), suggest that male agility influences SSD, although this influence is modulated by territorial mating strategy and thus the likely advantage of being large. Other evolutionary processes, such as fecundity selection and viability selection, however, need further investigation.