Natural selection is an important driver of microevolution. Yet, despite significant theoretical debate, we still have a poor understanding of how selection operates on interacting traits (i.e., morphology, performance, habitat use). Locomotor performance is often assumed to impact survival because of its key role in foraging, predator escape, and social interactions, and shows strong links with morphology and habitat use within and among species. In particular, decades of study suggest, but have not yet demonstrated, that natural selection on locomotor performance has shaped the diversification of Anolis lizards in the Greater Antilles. Here, we estimate natural selection on sprinting speed and endurance in small replicate island populations of Anolis sagrei. Consistent with past correlational studies, long-limbed lizards ran faster on broad surfaces but also had increased sprint sensitivity on narrow surfaces. Moreover, performance differences were adaptive in the wild. Selection favored long-limbed lizards that were fast on broad surfaces, and preferred broad substrates in nature, and also short-limbed lizards that were less sprint sensitive on narrow surfaces, and preferred narrow perches in nature. This finding is unique in showing that selection does not act on performance alone, but rather on unique combinations of performance, morphology, and habitat use. Our results support the long-standing hypothesis that correlated selection on locomotor performance, morphology, and habitat use drives the evolution of ecomorphological correlations within Caribbean Anolis lizards, potentially providing a microevolutionary mechanism for their remarkable adaptive radiation.