Multimodal defensive displays are commonplace, with prey combining conspicuous coloration, sounds, odours and other chemical emissions to deter predators. These components can signal to predators in multiple signal modalities to warn them that prey are defended. The aim of our review is to examine the form and function of multimodal warning displays. Data collected from the literature on multimodal insect warning displays show the degree of complexity and diversity that needs to be explained, and we identify patterns in the data that may be worthy of more rigorous investigation. We also provide a theoretical framework for the study of multimodal warning displays, and evaluate the evidence for different functional hypotheses that can explain their widespread evolution. Our review highlights that whilst multimodal warning displays are well documented, particularly in insects, we lack a good understanding of their function in natural predator–prey systems.