Morphological traits are often genetically and/or phenotypically correlated with each other and such covariation can have an important influence on the evolution of individual traits. The strong positive relationship between brain size and body size in vertebrates has attracted a lot of interest, and much debate has surrounded the study of the factors responsible for the allometric relationship between these two traits. Here, we use comparative analyses of the Tanganyikan cichlid adaptive radiation to investigate the patterns of evolution for brain size and body size separately. We found that body size exhibited recent bursts of rapid evolution, a pattern that is consistent with divergence linked to ecological specialization. Brain weight on the other hand, showed no bursts of divergence but rather evolved in a gradual manner. Our results thus show that even highly genetically correlated traits can present markedly different patterns of evolution, hence interpreting patterns of evolution of traits from correlations in extant taxa can be misleading. Furthermore, our results suggest, contrary to expectations from theory, that brain size does not play a key role during adaptive radiation.