How does natural selection shape the structure of variance and covariance among multiple traits, and how do (co)variances influence trajectories of adaptive diversification? We investigate these pivotal but open questions by comparing phenotypic (co)variances among multiple morphological traits across 18 derived lake‐dwelling populations of threespine stickleback, and their marine ancestor. Divergence in (co)variance structure among populations is striking and primarily attributable to shifts in the variance of a single key foraging trait (gill raker length). We then relate this divergence to an ecological selection proxy, to population divergence in trait means, and to the magnitude of sexual dimorphism within populations. This allows us to infer that evolution in (co)variances is linked to variation among habitats in the strength of resource‐mediated disruptive selection. We further find that adaptive diversification in trait means among populations has primarily involved shifts in gill raker length. The direction of evolutionary trajectories is unrelated to the major axes of ancestral trait (co)variance. Our study demonstrates that natural selection drives both means and (co)variances deterministically in stickleback, and strongly challenges the view that the (co)variance structure biases the direction of adaptive diversification predictably even over moderate time spans.