Simple Summary: The riverine ecosystem of the Aurès Mountains in Algeria is situated in the southern part of the Mediterranean basin. This unique region is an important centre of speciation, with a distinct number of regional endemics—some of which are still undescribed or very poorly studied. Given the importance of biomonitoring the ecological status of surface waters in this region, as well as the need to study and protect the diversity of aquatic fauna, information on the taxonomic composition and status of regional species is essential. Our attention was focused on the mayflies of the genus Baetis Leach, 1815 (Ephemeroptera: Baetidae), a typical element of the river macrozoobenthos within the Aurès Mountains. A new species of Baetis (Baetis) dihyae sp. nov. is described for larvae and attributed to the Baetis alpinus species group using morphological and molecular evidence. The affinities of Baetis (Baetis) dihyae sp. nov. to the closely related Palearctic species Baetis (B.) alpinus (Pictet, 1843); the western Alps endemic Baetis (B.) nubecularis Eaton, 1898; and B. (B.) pasquetorum Righetti & Thomas, 2002 (reported only from a few localities in southern France) are discussed in detail. The record and further description of a new species is the first contribution to the knowledge of the relatively diverse mayfly family Baetidae, distributed in the Aurès Mountains. Establishing a representative level of diversity of the macroinvertebrate fauna of the region is closely linked to both field studies and analyses of the main pathways of invasion of its individual elements. Using an extensive data set on the geology and historical biogeography of different faunal groups as well as analysing the diversity of the Baetis alpinus species-group representatives in Western Europe and the Maghreb, we examined in this contribution its colonisation pathways in North Africa. A new species, Baetis (Baetis) dihyaesp. nov., belonging to the Baetis alpinus species group, is described and illustrated based on larval material collected in the Aurès Mountains (northeastern Algeria) in 2020–2021. This new species is closely related to three European species, e.g., Baetis (B.) alpinus (Pictet, 1843); B. (B.) nubecularis Eaton, 1898; and B. (B.) pasquetorum Righetti & Thomas, 2002 by the combination of the following characteristics: (i) more than one short, stout bristle at the tip of segment II of the maxillary palp and (ii) a well-developed paracercus. However, the new species clearly differs from all congeners of the Baetis alpinus species group primarily by the (a) structure of mouthparts—with 14–18 long submarginal setae arranged in a single irregular row on the dorsal surface of the labrum; 2–6 short, stout bristles at the tip of segment II of the maxillary palp; and segment II of the labial palp without a considerably developed apico-internal lobe); (b) setation of abdominal terga, with a few triangular-shaped scales sparsely scattered near the posterior margin only; and (c) a well-developed paracercus, comprised of more than 50 segments. Primary data on the biology and distribution of this new species are provided, and molecular affinities are verified by the analysis of COI (barcode) sequences. Detailed notes on the distribution of mayfly species belonging to the Baetis alpinus species group common in Western Europe and the western part of North Africa are presented. The historical movement of Baetis representatives between Europe, North West Africa, and subsequently Algeria, with the land bridges 'Strait of Gibraltar' and 'Strait of Sicily' as colonization routes, is discussed in detail and identified in the present study as the Western Algeria colonization path and Eastern Algeria colonization path, respectively. [ABSTRACT FROM AUTHOR]