Sexual traits (e.g. visual ornaments, acoustic signals, courtship behaviour) are often displayed together as multimodal signals. Some hypotheses predict joint evolution of different sexual signals (e.g. to increase the efficiency of communication) or that different signals trade off with each other (e.g. due to limited resources). Alternatively, multiple signals may evolve independently for different functions, or to communicate different information (multiple message hypothesis). We evaluated these hypotheses with a comparative study in the family Estrildidae, one of the largest songbird radiations, and one that includes many model species for research in sexual selection and communication. We found little evidence for either joint evolution or trade-offs between song and colour ornamentation. Some negative correlations between dance repertoire and song traits may suggest a functional compromise, but generally courtship dance also evolved independently from other signals. Instead of correlated evolution, we found that song, dance and colour are each related to different socio-ecological traits. Song complexity evolved together with ecological generalism, song performance with investment in reproduction, dance with commonness and habitat type, whereas colour ornamentation was shown previously to correlate mostly with gregariousness. We conclude that multimodal signals evolve in response to various socio-ecological traits, suggesting the accumulation of distinct signalling functions.