Neuroethology utilizes a wide range of multidisciplinary approaches to decipher neural correlates of natural behaviors associated with an animal's ecological niche. By placing emphasis on comparative analyses of adaptive and evolutionary trends across species, a neuroethological perspective is uniquely suited to uncovering general organizational and biological principles that shape the function and anatomy of the nervous system. In this review, we focus on the application of neuroethological principles in the study of insect olfaction and discuss how ecological environment and other selective pressures influence the development of insect olfactory neurobiology, not only informing our understanding of olfactory evolution but also providing broader insights into sensory processing.