One of the most conspicuous features of many moth species is their antennae, which can be strikingly elaborate. However, the factors that have influenced the evolution of these impressive receptor organs remain poorly known. Antennae are potentially costly structures, and previous research has indicated that investment in these structures may be traded-off against investment in other organs, depending on the mating strategy in which individuals engage. Using a phylogenetic comparative analysis of data from dissected wild-caught individuals from 44 Australian moth species, we examined potential trade-offs and correlations between antennal size (measured as antenna length and antenna area) and the size of a range of other morphological features related to paternity (testis area), and vision (eye diameter). Antenna area did not show any evidence of a trade-off with testis size (area) after controlling for body size and phylogeny. Further, relative antenna length was positively correlated with relative eye size, suggesting that investment in both sensory structures is linked. Analysis of the allometric scaling of antennal size and eye diameter found that larger moth species invested relatively more in the size of their male antennae (both area and length) than in the size of their eyes. These results indicate different patterns of investment in sensory structures in relation to body size, with larger moth species favouring the evolution of more elaborate antennae in males.