Genes with sexually dimorphic expression (sex-biased genes) often evolve rapidly and are thought to make an important contribution to reproductive isolation between species. We examined the molecular evolution of sex-biased genes in Drosophila melanogaster and D. ananassae, which represent two independent lineages within the melanogaster group. We find that strong purifying selection limits protein sequence variation within species, but that a considerable fraction of divergence between species can be attributed to positive selection. In D. melanogaster, the proportion of adaptive substitutions between species is greatest for male-biased genes and is especially high for those on the X chromosome. In contrast, male-biased genes do not show unusually high variation within or between populations. A similar pattern is seen at the level of gene expression, where sex-biased genes show high expression divergence between species, but low divergence between populations. In D. ananassae, there is no increased rate of adaptation of male-biased genes, suggesting that the type or strength of selection acting on sex-biased genes differs between lineages.