Sexual size dimorphism (SSD) is a common phenomenon in animal taxa. While males are the larger sex in many birds and mammals, female-biased SSD predominates among insects, including Orthoptera. We analyzed size differences of 1503 Orthoptera species, suggesting that SSD is rather uniform in Ensifera, with the females being on average 9% larger than the males (ranging from −20 to 40%). In contrast, SSD is usually much stronger in Caelifera (37%) and also more variable (ranging from −20 to 140%). Caelifera with larger females exhibit stronger size differences than smaller species, whereas in Ensifera SSD decreases with male body size, but is not related to female size. Sexual size differences in Orthoptera are usually associated with a higher number of nymphal instars in females, leading to an earlier emergence of adult males (protandry). Both growth rates and the number of instars seem to be affected by genetic and environmental cues. Two major hypotheses have been proposed to explain the ultimate causes for SSD: the intersexual competition hypothesis and the differential equilibrium hypothesis. The first suggests that sexual dimorphism is a mechanism to reduce intraspecific competition, enabling the sexes to specialize on different food items. The differential equilibrium hypothesis proposes that the different body sizes represent sex-specific fitness optima, which are caused by their specific life-history strategies. Females may maximize their reproductive success by increasing the number (or size) of eggs (fecundity selection), whereas males may maximize their reproduction by being more mobile and fertilizing many females in a short period of time. These fundamental differences in the life-history strategies of the sexes may also lead to sexual selection, which has sometimes been referred to as an additional hypothesis. There is still a need for more empirical research on the ultimate causes for SSD. At present, there is much more support for the differential equilibrium hypothesis, but the intersexual competition hypothesis has rarely been tested. We propose some experimental approaches to test both hypotheses in micro- and macroevolutionary contexts.