A fossil mayfly nymph Caenoephemera shangyuanensis, gen.nov., sp.nov., discovered in the lower part of the Upper Jurassic – Lower Cretaceous Yixian Formation of Jianshangou, Beipiao district, West Liaoning, China, is described. It has several archaic features typical of Paleozoic mayfly nymphs, such as 5 tarsal segments and hind wing pads not covered by fore wing pads, but also exhibits specialized modern features, such as a short metathorax, abdominal tracheal gills, and cerci. It appears to be intermediate in structure between Paleozoic and extant mayfly nymphs.