We investigated the relative importance of dispersal and vicariance in forming the Madagascar insect fauna, sequencing approximately 2300bp from three rRNA gene regions to investigate the phylogeny of Afrotropical small minnow mayflies (Ephemeroptera: Baetidae). Six lineages contained trans-oceanic sister taxa, and variation in genetic divergence between sister taxa revealed relationships that range from very recent dispersal to ancient vicariance. Dispersal was most recent and frequent in species that spend the larval stage in standing water, adding to evidence that these evolutionarily unstable habitats may select for ecological traits that increase dispersal in insects. Ancestral state likelihood analysis suggested at least one Afrotropical lineage had its origin in Madagascar, demonstrating that unidirectional dispersal from a continental source may be too simplistic. We conclude that the Malagasy mayfly fauna should be considered in a biogeographical context that extends beyond Madagascar itself, encompassing trans-oceanic dispersal within multiple lineages.