The evolution of costly traits such as deer antlers and peacock trains, which drove the formation of Darwinian sexual selection theory, has been suggested to both reflect and affect patterns of genetic variance across the genome, but direct tests are missing. Here, we used an evolve and resequence approach to reveal patterns of genome-wide diversity associated with the expression of a sexually selected weapon that is dimorphic among males of the bulb mite, Rhizoglyphus robini. Populations selected for the weapon showed reduced genome-wide diversity compared to populations selected against the weapon, particularly in terms of the number of segregating non-synonymous positions, indicating enhanced purifying selection. This increased purifying selection reduced inbreeding depression, but outbred female fitness did not improve, possibly because any benefits were offset by increased sexual antagonism. Most single nucleotide polymorphisms (SNPs) that consistently diverged in response to selection were initially rare and overrepresented in exons, and enriched in regions under balancing or relaxed selection, suggesting they are probably moderately deleterious variants. These diverged SNPs were scattered across the genome, further demonstrating that selection for or against the weapon and the associated changes to the mating system can both capture and influence genome-wide variation.