Ecologists and evolutionary biologists are well aware that natural and sexual selection do not operate on traits in isolation, but instead act on combinations of traits. This long-recognized and pervasive phenomenon is known as multivariate selection, or - in the particular case where it favours correlations between interacting traits - correlational selection. Despite broad acknowledgement of correlational selection, the relevant theory has often been overlooked in genomic research. Here, we discuss theory and empirical findings from ecological, quantitative genetic and genomic research, linking key insights from different fields. Correlational selection can operate on both discrete trait combinations and quantitative characters, with profound implications for genomic architecture, linkage, pleiotropy, evolvability, modularity, phenotypic integration and phenotypic plasticity. We synthesize current knowledge and discuss promising research approaches that will enable us to understand how correlational selection shapes genomic architecture, thereby linking quantitative genetic approaches with emerging genomic methods. We suggest that research on correlational selection has great potential to integrate multiple fields in evolutionary biology, including developmental and functional biology, ecology, quantitative genetics, phenotypic polymorphisms, hybrid zones and speciation processes.