Origin of Insect Flight
The origin of insect flight remains obscure, since the earliest winged insects currently known appear to have been capable fliers. Some extinct insects (e.g. the Palaeodictyoptera) had an additional pair of winglets attached to the first segment of the thorax, for a total of three pairs.
The wings themselves are sometimes said to be highly modified (tracheal) gills. And there is no doubt that the tracheal gills of the mayfly nymph in many species look like wings. By comparing a well-developed pair of gill blades in the naiads and a reduced pair of hind wings on the adults, it is not hard to imagine that the mayfly gills (tergaliae) and insect wings have a common origin, and newer research also supports this. The tergaliae are not found in any other order of insects, and they have evolved in different directions with time. In some nymphs/naiads the most anterior pair has become sclerotized and works as a gill cover for the rest of the gills. Others can form a large sucker, be used for swimming or modified into other shapes. But it doesn't have to mean that these structures were originally gills. It could also mean that the tergaliae evolved from the same structures which gave rise to the wings, and that flying insects evolved from a wingless terrestrial species with pairs of plates on its body segments: three on the thorax and nine on the abdomen (mayfly nymphs with nine pairs of tergaliae on the abdomen exist, but so far no living or extinct insects with plates on the last two segments have been found). If these were primary gills, it would be a mystery why they should have waited so long to be modified when we see the different modifications in modern mayfly nymphs.
Read more about this topic: Phylogeny Of Insects
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