Prey seldom rely on a single type of antipredator defence, often using multiple defences to avoid predation. In many cases, selection in different contexts may favour the evolution of multiple defences in a prey. However, a prey may use multiple defences to protect itself during a single predator encounter. Such “defence portfolios” that defend prey against a single instance of predation are distributed across and within successive stages of the predation sequence (encounter, detection, identification, approach (attack), subjugation and consumption). We contend that at present, our understanding of defence portfolio evolution is incomplete, and seen from the fragmentary perspective of specific sensory systems (e.g., visual) or specific types of defences (especially aposematism). In this review, we aim to build a comprehensive framework for conceptualizing the evolution of multiple prey defences, beginning with hypotheses for the evolution of multiple defences in general, and defence portfolios in particular. We then examine idealized models of resource trade-offs and functional interactions between traits, along with evidence supporting them. We find that defence portfolios are constrained by resource allocation to other aspects of life history, as well as functional incompatibilities between different defences. We also find that selection is likely to favour combinations of defences that have synergistic effects on predator behaviour and prey survival. Next, we examine specific aspects of prey ecology, genetics and development, and predator cognition that modify the predictions of current hypotheses or introduce competing hypotheses. We outline schema for gathering data on the distribution of prey defences across species and geography, determining how multiple defences are produced, and testing the proximate mechanisms by which multiple prey defences impact predator behaviour. Adopting these approaches will strengthen our understanding of multiple defensive strategies.