As predicted by sexual selection theory, males are larger than females in most polygynous mammals, but recent studies found that ecology and life history traits also affect sexual size dimorphism (SSD) through evolutionary changes in either male size, female size, or both. The primates of Madagascar (Lemuriformes) represent the largest group of mammals without male-biased SSD. The eco-evo-devo hypothesis posited that adaptations to unusual climatic unpredictability on Madagascar have ultimately reduced SSD in lemurs after dispersing to Madagascar, but data have not been available for comparative tests of the corresponding predictions that SSD is also absent in other terrestrial Malagasy mammals and that patterns of SSD changed following the colonization of Madagascar. We used phylogenetic methods and new body mass data to test these predictions among the four endemic radiations of Malagasy primates, carnivorans, tenrecs, and rodents. In support of our prediction, we found that male-biased SSD is generally absent among all Malagasy mammals. Phylogenetic comparative analyses further indicated that after their independent colonization of Madagascar, SSD decreased in primates and tenrecs, but not in the other lineages or when analyzed across all species. We discuss several mechanisms that may have generated these patterns and conclude that neither the eco-evo-devo hypothesis, founder effects, the island rule nor sexual selection theory alone can provide a compelling explanation for the observed patterns of SSD in Malagasy mammals.