Wing size and shape have important aerodynamic implications on flight performance. We explored how wing size was related to wing shape in territorial males of 37 taxa of the damselfly family Calopterygidae. Wing coloration was also included in the analyses because it is sexually and naturally selected and has been shown to be related to wing shape. We studied wing shape using both the non-dimensional radius of the second moment of wing area (RSM) and geometric morphometrics. Lower values of the RSM result in less energetically demanding flight and wider ranges of flight speed. We also re-analyzed previously published data on other damselflies and dragonflies. The RSM showed a hump-shaped relationship with wing size. However, after correcting for phylogeny using independent contrast, this pattern changed to a negative linear relationship. The basal genus of the study family, Hetaerina, was mainly driving that change. The obtained patterns were specific for the study family and differed from other damselflies and dragonflies. The relationship between the RSM and wing shape measured by geometric morphometrics was linear, but relatively small changes along the RSM axis can result in large changes in wing shape. Our results also showed that wing coloration may have some effect on RSM. We found that RSM showed a complex relationship with size in calopterygid damselflies, probably as a result of other selection pressures besides wing size per se. Wing coloration and specific behavior (e.g. courtship) are potential candidates for explaining the complexity. Univariate measures of wing shape such as RSM are more intuitive but lack the high resolution of other multivariate techniques such as geometric morphometrics. We suggest that the relationship between wing shape and size are taxa-specific and differ among closely-related insect groups.