The ‘expensive tissue hypothesis’ predicts a size trade‐off between the brain and other energetically costly organs. A specific version of this hypothesis, the ‘expensive sexual tissue hypothesis’, argues that selection for larger testes under sperm competition constrains brain size evolution. We show here that there is no general evolutionary trade‐off between brain and testis mass in mammals. The predicted negative relationship between these traits is not found for rodents, ungulates, primates, carnivores, or across combined mammalian orders, and neither does total brain mass vary according to the level of sperm competition as determined by mating system classifications. Although we are able to confirm previous reports of a negative relationship between brain and testis mass in echolocating bats, our results suggest that mating system may be a better predictor of brain size in this group. We conclude that the expensive sexual tissue hypothesis accounts for little or none of the variance in brain size in mammals, and suggest that a broader framework is required to understand the costs of brain size evolution and how these are met