Sexual selection is commonly envisaged as a force working in opposition to natural selection, because extravagant or exaggerated traits could apparently have never evolved via natural selection alone. There is good evidence that a selection load imposed by sexual selection may be eased experimentally by restricting the opportunity for it to operate. Sexual selection could therefore potentially play an important role in influencing the risk of extinction that a population faces, thereby contributing to the apparent selectivity of extinctions. Conversely, recent theory predicts that the likelihood of extinction may decrease when sexual selection is operating because it could accelerate the rate of adaptation in concert with natural selection. So far, comparative evidence (coming mostly from birds) has generally indicated support for the former scenario, but the question remains open. The aim of this study was therefore to examine whether the level of sexual selection (measured as residual testes mass and sexual size dimorphism) was related to the risk of extinction that mammals are currently experiencing. We found no evidence for a relationship between these factors, although our analyses may have been confounded by the possible dominating effect of contemporary anthropogenic factors.