Wing pigmentation in Calopteryx damselflies, caused by the deposition of melanin, is energetically expensive to produce and enhances predation risk. However, patterns of melanisation are used in species identification, greater pigmentation is an accurate signal of male immune function in at least some species, and there may be a role for pigment in thermoregulation. This study tested two potential hypotheses to explain the presence of, and variation in, this pigmentation based on these three potential benefits using 907 male specimens of Calopteryx maculata collected from 49 sites (34 discrete populations) across the geographical range of the species in North America: (i) pigmentation varies with the presence of the closely related species, Calopteryx aequabilis, and (ii) pigment increases at higher latitudes as would be expected if it enhances thermoregulatory capacity. No gradual latitudinal pattern was observed, as might be expected if pigmentation was involved in thermoregulation. However, strong variation was observed between populations that were sympatric or allopatric with C. aequabilis. This variation was characterised by dark wings through allopatry in the south of the range and then a step change to much lighter wings at the southern border of sympatry. Pigmentation then increased further north into the sympatric zone, finally returning to allopatry levels at the northern range margin. These patterns are qualitatively similar to variation in pigmentation in C. aequabilis, meaning that the data are consistent with what would be expected from convergent character displacement. Overall, the results corroborate recent research that has suggested sexual selection as a primary driver behind the evolution of wing pigmentation in this group.