Studying alternative forms of reproduction in natural populations is of fundamental importance for understanding the costs and benefits of sex. Mayflies are one of the few animal groups where sexual reproduction co-occurs with different types of parthenogenesis, providing ideal conditions for identifying benefits of sex in natural populations. Here, we establish a catalog of all known mayfly species capable of reproducing by parthenogenesis, as well as species unable to do so. Overall, 1.8% of the described species reproduce parthenogenetically, which is an order of magnitude higher than reported in other animal groups. This frequency even reaches 47.8% if estimates are based on the number of studied rather than described mayfly species, as reproductive modes have thus far been studied in only 17 out of 42 families. We find that sex is a more successful strategy than parthenogenesis (associated with a higher hatching success of eggs), with a trade-off between the hatching success of parthenogenetic and sexual eggs. This means that improving the capacity for parthenogenesis may come at a cost for sexual reproduction. Such a trade-off can help explain why facultative parthenogenesis is extremely rare among animals despite its potential to combine the benefits of sexual and parthenogenetic reproduction. We argue that parthenogenesis is frequently selected in mayflies in spite of this probable trade-off because their typically low dispersal ability and short and fragile adult life may frequently generate situations of mate limitation in females. Mayflies are currently clearly underappreciated for understanding the benefits of sex under natural conditions.