Natural selection has rarely promoted the evolution of colour polymorphism in wild mammals. However, it is more common in domestic mammals due to artificial selection. For this reason, domestication could provide valuable insights into the mechanisms underlying the evolution of colour diversity. This raises the question of whether the associations between coat colour and other phenotypes in domestic animals are similar to those in free-living animals. Our literature review of cows, goats and sheep suggests that these associations can differ not only between species but also within and between breeds. This pattern holds for all the traits that we considered: morphology, behaviour, physiology, reproduction, milk production and parasitism. The only consistent association we found in the literature was the attraction of flies towards dark-coloured cows. The relationships between same colour morph, cortisol and thermoregulation varied across environments, suggesting a possible condition-dependent expression of multiple traits. We conclude that artificial selection may lead to a different integration of multiple phenotypes compared to animals living in the wild. Therefore, colour variation may not always serve the same functional roles in domestic animals as it does in wild ones.