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Sexual selection drives the evolution of many spectacular animal displays that we see in nature. Yet, how selection combines and elaborates different signal traits remains unclear. Here, we investigate this issue by testing for correlated evolution between head plumage colour and drumming behaviour in woodpeckers. These signals function in the context of mate choice and male–male competition, and they may appear to a receiver as a single multimodal display. We test for such correlations in males of 132 species using phylogenetic linear models, while considering the effect of habitat. We find that the plumage chromatic contrast is positively correlated with the speed of the drum, supporting the idea that species evolving more conspicuous plumage on their head also evolve faster drum displays. By contrast, we do not find evidence of correlated evolution between drum speed and head colour diversity, size of the head's red patch, or extent of the plumage achromatic contrast. Drum length was not correlated with any of the plumage coloration metrics. Lastly, we find no evidence that habitat acts as a strong selective force driving the evolution of head coloration or drumming elaboration. Coevolution between different signal modalities is therefore complex, and probably depends on the display components in question.