The mayfly fauna of Madagascar is highly diverse and largely endemic. Many species remain undescribed, and many species are known from only the larval or adult life stage. The high biodiversity in Madagascar and in other areas has led to an increasing reliance on DNA-based approaches to taxonomy, i.e., to define species boundaries and to associate different developmental stages. We used the general mixed Yule-coalescent (GMYC) model to combine population- and species-level sequence variation of mitochondrial deoxyribonucleic acid (mtDNA) to detect species boundaries in Baetidae mayflies (Ephemeroptera). Starting with a database of 240 sequences (57 species), significant clustering of newly sequenced larvae allowed us to establish 1 new species and 1 new combination and to associate adult and larval stages for both. A molecular phylogeny using additional nuclear (18S) and mtDNA (rrnS, rrnL) gene regions recovered the new species and new combination as a monophyletic group, distinct from other Afrotropical lineages. Therefore, we established a new genus, Adnoptilum, endemic to Madagascar. Adnoptilum gen. n. can be distinguished from other species in both the imaginal and adult stages and appears to belong to the Bugilliesia complex. We conclude that routine sampling of population- and species-level genetic diversity, combined with coalescent-based methods of species delineation, has great potential to become a standard procedure for the study of poorly known taxonomic groups.