Species interactions lie at the heart of many theories of macroevolution, from adaptive radiation to the Red Queen. Although some theories describe the imprint that interactions will have over long time scales, we are still missing a comprehensive understanding of the effects of interactions on macroevolution. Current research shows strong evidence for the impact of interactions on macroevolutionary patterns of trait evolution and diversification, yet many macroevolutionary studies have only a tenuous relationship to ecological studies of interactions over shorter time scales. We review current research in this area, highlighting approaches that explicitly model species interactions and connect them to broad‐scale macroevolutionary patterns. We also suggest that progress has been made by taking an integrative interdisciplinary look at individual clades. We focus on African cichlids as a case study of how this approach can be fruitful. Overall, while the evidence for species interactions shaping macroevolution is strong, further work using integrative and model‐based approaches is needed to spur progress towards understanding the complex dynamics that structure communities over time and space.