Sex chromosomes contribute disproportionately to species boundaries as they diverge faster than autosomes and often have reduced diversity. Their hemizygous nature contributes to faster divergence and reduced diversity, as do some types of selection. In birds, other factors (mating system and bottlenecks) can further decrease the effective population size of Z-linked loci and accelerate divergence (Fast-Z). We assessed Z-linked divergence and effective population sizes for two polygynous sage-grouse species and compared them to estimates from birds with various mating systems. We found lower diversity and higher F_ST for Z-linked loci than for autosomes, as expected. The π_Z/π_A ratio was 0.38 in Centrocercus minimus, 0.48 in Centrocercus urophasianus and 0.59 in a diverged, parapatric population of C. urophasianus, a broad range given the mating system among these groups is presumably equivalent. The full data set had unequal males and females across groups, so we compared an equally balanced reduced set of C. minimus and individuals pooled from both C. urophasianus subgroups recovering similar estimates: 0.54 for C. urophasianus and 0.38 for C. minimus. We provide further evidence that N_eZ/N_eA in birds is often lower than expected under random mating or monogamy. The lower ratio in C. minimus could be a consequence of stronger selection or drift acting on Z loci during speciation, as this species differs strongly from C. urophasianus in sexually selected characters with minimal mitochondrial divergence. As C. minimus also exhibited lower genomic diversity, it is possible that a more severe demographic history may contribute to its lower ratio.