Insects thrive in diverse ecological niches in large part because of their highly sophisticated olfactory systems. Over the last two decades, a major focus in the study of insect olfaction has been on the role of olfactory receptors in mediating neuronal responses to environmental chemicals. In vivo, these receptors operate in specialized structures, called sensilla, which comprise neurons and non-neuronal support cells, extracellular lymph fluid and a precisely shaped cuticle. While sensilla are inherent to odour sensing in insects, we are only just beginning to understand their construction and function. Here, we review recent work that illuminates how odour-evoked neuronal activity is impacted by sensillar morphology, lymph fluid biochemistry, accessory signalling molecules in neurons and the physiological crosstalk between sensillar cells. These advances reveal multi-layered molecular and cellular mechanisms that determine the selectivity, sensitivity and dynamic modulation of odour-evoked responses in insects.