Differences in behavior and life history traits between females and males are the basis of divergent selective pressures between sexes. It has been suggested that a way for the two sexes to deal with different life history requirements is through sex-biased gene expression. In this study, we performed a comparative sex-biased gene expression analysis of the combined eye and brain transcriptome from five Heliconius species, H. charithonia, H. sara, H. erato, H. melpomene and H. doris, representing five of the main clades from the Heliconius phylogeny. We found that the degree of sexual dimorphism in gene expression is not conserved across Heliconius. Most of the sex-biased genes identified in each species are not sex-biased in any other, suggesting that sexual selection might have driven sexually dimorphic gene expression. Only three genes shared sex-biased expression across multiple species: ultraviolet opsin UVRh1 and orthologs of Drosophila Krüppel-homolog 1 and CG9492. We also observed that in some species female-biased genes have higher evolutionary rates, but in others, male-biased genes show the fastest rates when compared with unbiased genes, suggesting that selective forces driving sex-biased gene evolution in Heliconius act in a sex- and species-specific manner. Furthermore, we found dosage compensation in all the Heliconius tested, providing additional evidence for the conservation of dosage compensation across Lepidoptera. Finally, sex-biased genes are significantly enriched on the Z, a pattern that could be a result of sexually antagonistic selection.