The sensilla on the antennae and maxillary palps are the most important olfactory organs, via which the insect can perceive the semiochemicals to adjust their host seeking and oviposition behaviors. The oriental fruit fly, Bactrocera dorsalis (Hendel) (Diptera: Tephritidae), is a major agricultural quarantine pest infesting more than 250 different fruits and vegetables. However, the sensilla involved in olfaction have not been well documented even though a variety of control practices based on chemical communication have already been developed. In this study, the ultrastructure of the sensilla, especially the olfactory sensilla on the antennae and maxillary palps of both males and females, were investigated with field emission scanning electron microscopy (FESEM) and transmission electron microscopy (TEM). Three types of olfactory sensillum types including trichodea, basiconica, and coeloconica, and two non-olfactory sensilla including both chaetica and microtrichia, were observed. Each of these three types of olfactory sensilla on the antennae of B. dorsalis were further classified into two subtypes according to the morphology and number of receptor cells. For the first time, the pores on the sensilla trichodea and basiconica cuticular wall were observed in this species, suggesting they are involved in semiochemical perception. This study provides new information on B. dorsalis olfaction, which can be connected to other molecular, genetic, and behavioral research to construct an integral olfactory system model for this species.