Immature instars of mayflies are important constituents of the food web in aquatic ecosystems (especially in Neotropical regions) and they are among the most susceptible arthropods to pyrethroid insecticides. These insecticides have been recognized as important stressors of freshwater ecosystems, but their cellular effects in aquatic insects have been neglected. Here, we assessed the susceptibility to deltamethrin (a typical type II pyrethroid) as well as the deltamethrin-mediated cytomorphological changes in the central nervous system and midgut of the mayfly Callibaetis radiatus. While the deltamethrin LC50 for 24h of exposure was of 0.60 (0.46–0.78) μg of a.i/L, the survival of C. radiatus was significantly reduced in deltamethrin concentrations ≥ 0.25 μg a.i/L at 96h of exposure. Sub-lethal deltamethrin exposure severely affected the cytomorphology of C. radiatus midgut (e.g., muscle layer retraction, cytoplasm vacuolation, nucleus and striated border disorganization) and also induced slight cytomorphological changes in the brain (e.g., presence of pyknotic nuclei) and in the thoracic ganglia (e.g., vacuolation of neurons and presence of pyknotic nuclei) of these insects. However, DNA damage was absent in all of these organs, suggesting that the sublethal cellular stress induced by deltamethrin might disrupt physiological processes (e.g., metabolism or electrical signal transmission) rather than cause cell death (e.g., apoptosis) in C. radiatus. Thus, our findings indicated that deltamethrin actions at cellular levels represent a clear indication of sublethal effects on the C. radiatus survival abilities.