In insects, the midgut performs multiple physiologic functions (e.g., digestion and nutrients absorption) and serves as a physical/chemical barrier against pathogens and chemical stressors such as deltamethrin, a pyrethroid insecticide, commonly used in insect control that are agricultural pests and human disease vectors. Here, we described the midgut cell ultrastructure of Callibaetis radiatus nymphs, which are bioindicators of water quality and the ultrastructural alterations in midgut under sublethal exposure to deltamethrin at three different periods (1, 12, 24 h). The digestive cells of deltamethrin-unexposed nymphs had long microvilli, many mitochondria in the apical cytoplasm, a rough endoplasmic reticulum, a basal labyrinth with openings for hemocele, and the midgut peritrophic matrix which is classified as type I. Nymphs exposed to deltamethrin exhibited digestive cells rich in autophagic vacuoles, basal labyrinth loss, and microvilli disorganization since the first hour of contact with deltamethrin. However, these midgut tissues underwent to autophagic cellular recovery along the 24 h of exposure to deltamethrin. Thus, the sublethal exposure to deltamethrin is sufficient to disturb the ultrastructure of C. radiatus midgut, which might reduce the abilities of these insects to survive in aquatic environments contaminated by pyrethroids.