In lizards, males are predicted to sprint faster and run for longer than females by virtue of higher testosterone levels and differences in morphology. Consequently, escape behaviour is also predicted to be associated with sex and locomotor performance, yet these links have rarely been explored. Here, we tested whether escape behaviour is associated with locomotor performance in the toad-headed agama, Phrynocephalus vlangalii, and whether it is sex-dependent. This species is also characterized by elaborate tail displays, which we examined as a potential pursuit-deterrent signal. Tail waves were performed by a very small proportion (2/58, 3 %) of individuals during predatory trials, suggesting that tail signalling functions exclusively in a social context. To understand the relationships between sex, escape behaviour and performance, we first measured escape behaviour (flight initiation distance, flight distance—measured differently compared to previous studies of lizard escape behaviour, and refuge use) in the field before measuring maximal sprint speed and endurance on the same individuals in the laboratory. Flight initiation distance did not differ between the sexes and was unrelated to performance capacity (maximal endurance and sprint speed) but was positively related to body size with larger individuals fleeing earlier. Males fled farther than females, but flight distance was also unrelated to either endurance or sprint speed. Interestingly, faster females were less likely to enter a refuge than slower females, whereas sprint speed and the probability of taking refuge were unrelated for males. Our results suggest that when males and females are not obviously sexually dimorphic, they are more likely to overlap in escape tactics.