Modular genetic systems and networks have complex evolutionary histories shaped by selection acting on single genes as well as on their integrated function within the network. However, uncovering molecular coevolution requires the detection of coevolving sites in sequences. Detailed knowledge of the functions of each gene in the system is also necessary to identify the selective agents driving coevolution. Using recently developed computational tools, we investigated the effect of positive selection on the coevolution of ten major genes in the melanocortin system, responsible for multiple physiological functions and human diseases. Substitutions driven by positive selection at the melanocortin-1-receptor (MC1R) induced more coevolutionary changes on the system than positive selection on other genes in the system. Contrarily, selection on the highly pleiotropic POMC gene, which orchestrates the activation of the different melanocortin receptors, had the lowest coevolutionary influence. MC1R and possibly its main function, melanin pigmentation, seems to have influenced the evolution of the melanocortin system more than functions regulated by MC2-5Rs such as energy homeostasis, glucocorticoid-dependent stress and anti-inflammatory responses. Although replication in other regulatory systems is needed, this suggests that single functional aspects of a genetic network or system can be of higher importance than others in shaping coevolution among the genes that integrate it.