The quarantine pest, Cylas formicarius, is a key pest of sweet potatoes during both production and storage, posing a major threat to food security in various countries. To investigate behavioral mechanisms, the ultrastructure of the heads of larval and adult stages was analyzed using scanning electron microscopy, with an emphasis on the sensilla of the mouthparts and antennae. The results reveal degeneration of the antennae and ocelli in larvae. The larval mouthparts are equipped with three types and six subtypes of sensilla. Both male and female adults have four types and six subtypes of sensilla on their mouthparts. Compared to larvae, the adult mouthparts display a greater diversity of sensilla types and higher numbers of sensilla basicaonica (SB), sensilla chaetica (SC), and sensilla digitiformia (SD). Adult antennae consist of a scape, a pedicel, and eight flagellomeres (F1–F8), with F8 showing sexual dimorphism. Seven types of sensilla, excluding SB and sensilla ligulate (SL), each with two subtypes, were identified on the antennae of adults of both sexes. SC, sensilla furcatea, Böhm bristles, and SL were newly observed in the antennae of C. formicarius adults. Additionally, one type and seven subtypes of sensilla on the adult antennae exhibit distinct sexual dimorphism in terms of structure or number. The relationship between the head structure and adaptability of C. formicarius was examined, and the functions of each sensilla were discussed, providing a theoretical basis for future studies on the behavior of this pest.