Following Charles Darwin, research on sexual dichromatism has long focused on sexual selection driving ornamentation in males. However, Alfred Russel Wallace proposed another explanation – that dichromatism evolves as a result of selection favoring crypsis in incubating females. Many recent studies suggest that evolutionary changes in sexual dichromatism often result from changes in female, in addition to male, plumage, yet the evolutionary mechanisms driving changes in female plumage remain largely unexplained. To test Wallace's hypothesis, we examined variation in sexual dichromatism and nest shape, a proxy for predation risk, among New World blackbirds (Aves: Icteridae). Phylogenetic models reveal an evolutionary correlation between sexual dichromatism and nest exposure. Specifically, we found that transitions in monochromatic lineages with exposed nests toward either concealed nests or dichromatism were common. Although this evidence supports Wallace's hypothesis that female incubation leads to selection for crypsis or concealment, we also found that transitions to monomorphism were common, even in lineages with exposed nests – a result suggestive of a role for positive selection on female ornamentation. These patterns of plumage evolution support a growing body of work emphasizing the importance of developing and testing hypotheses to explain evolutionary changes in female, as well as male, ornamentation.