Identification of genes involved in reproductive isolation opens novel ways to investigate links between stages of the speciation process. Are the genes coding for ecological adaptations and sexual isolation the same that eventually lead to hybrid sterility and inviability? We review the role of sex-linked genes at different stages of speciation based on four main differences between sex chromosomes and autosomes; (1) relative speed of evolution, (2) non-random accumulation of genes, (3) exposure of incompatible recessive genes in hybrids and (4) recombination rate. At early stages of population divergence ecological differences appear mainly determined by autosomal genes, but fast-evolving sex-linked genes are likely to play an important role for the evolution of sexual isolation by coding for traits with sex-specific fitness effects (for example, primary and secondary sexual traits). Empirical evidence supports this expectation but mainly in female-heterogametic taxa. By contrast, there is clear evidence for both strong X- and Z-linkage of hybrid sterility and inviability at later stages of speciation. Hence genes coding for sexual isolation traits are more likely to eventually cause hybrid sterility when they are sex-linked. We conclude that the link between sexual isolation and evolution of hybrid sterility is more intuitive in male-heterogametic taxa because recessive sexually antagonistic genes are expected to quickly accumulate on the X-chromosome. However, the broader range of sexual traits that are expected to accumulate on the Z-chromosome may facilitate adaptive speciation in female-heterogametic species by allowing male signals and female preferences to remain in linkage disequilibrium despite periods of gene flow.