Mayflies (Ephemeroptera) are known to generally present a high degree of insular endemism: half of the 28 species known from Corsica and Sardinia are considered as endemic. We sequenced the DNA barcode (a fragment of the mitochondrial COI gene) of 349 specimens from 50 localities in Corsica, Sardinia, continental Europe and North Africa. We reconstructed gene trees of eight genera or species groups representing the main mayfly families. Alternative topologies were built to test if our reconstructions suggested a single or multiple Corsican/Sardinian colonization event(s) in each genus or species group. A molecular clock calibrated with different evolution rates was used to try to link speciation processes with geological events. Our results confirm the high degree of endemism of Corsican and Sardinian mayflies and the close relationship between these two faunas. Moreover, we have evidence that the mayfly diversity of the two islands is highly underestimated as at least six new putative species occur on the two islands. We demonstrated that the Corsican and Sardinian mayfly fauna reveals a complex history mainly related to geological events. The Messinian Salinity Crisis, which is thought to have reduced marine barriers, thus facilitating gene flow between insular and continental populations, was detected as the most important event in the speciation of most lineages. Vicariance processes related to the split and rotation of the Corso-Sardinian microplate had a minor impact as they involved only two genera with limited dispersal and ecological range. Colonization events posterior to the Messinian Salinity Crisis had only marginal effects as we had indication of recent gene flow only in two clades. With very limited recent gene flow and a high degree of endemism, mayflies from Corsica and Sardinia present all the criteria for conservation prioritization.