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Simple Summary: The host-alternating aphid Semiaphis heraclei (Hemiptera: Aphididae) is the dominant pest of its primary host plant—honeysuckle (Lonicera japonica). As the initial generation on honeysuckles each year, the sexual generation is a key target in aphid control. Understanding the mechanism underlying chemical communication between sexual aphids could be helpful for exploring olfactory stimulus-based male trapping techniques. In this study, the morphology of antennae and the types, sizes, numbers, and distribution of sensilla on the male and sexual female antennae of S. heraclei were investigated by means of scanning electron microscopy. The male antennae were dramatically longer than those of sexual females and the flagellum length contributed to the different antennal length between the two sexes. Four of five sensillum types or subtypes present in both sexes were enlarged in males. In addition, trichoid sensilla subtype I were more abundant on male antennae than on sexual female antennae. In particular, secondary rhinaria were found to be male specific. These sex-biased traits could be of great importance in the perception of sex pheromones. Our findings provide insight into the olfactory sensing mechanism of sexual individuals to assist in pest control. Sexual generation is an important generation in the life cycle of host-alternating aphids, and its population size determines the intensity of the peak in the next spring. Although male trapping techniques based on olfactory stimuli have been successfully established in the field, the biological basis of olfactory perception in males is unclear. In this study, we compared the morphology of antennae and the types, sizes, numbers, and distribution of sensilla between males and sexual females in the host-alternating aphid Semiaphis heraclei (Hemiptera: Aphididae). We found that flagellum length differentiation contributed to the majority of the sexual dimorphism of antennae. Most sensillum types or subtypes, including trichoid sensilla subtype I, campaniform sensilla, and primary rhinaria subtypes I and II, were enlarged in males. In addition, males bore more trichoid sensilla subtype I than sexual females. In particular, secondary rhinaria were present in males only and could not be detected in sexual females. These results revealed the structural basis of male olfactory perception. Our findings provide insight into the mechanism underlying chemical communication between sexual aphids and could thus be useful for pest control. [ABSTRACT FROM AUTHOR]