Polyneoptera represents one of the major lineages of winged insects, comprising around 40,000 extant species in 10 traditional orders, including grasshoppers, roaches, and stoneflies. Many important aspects of polyneopteran evolution, such as their phylogenetic relationships, changes in their external appearance, their habitat preferences, and social behavior, are unresolved and are a major enigma in entomology. These ambiguities also have direct consequences for our understanding of the evolution of winged insects in general; for example, with respect to the ancestral habitats of adults and juveniles. We addressed these issues with a large-scale phylogenomic analysis and used the reconstructed phylogenetic relationships to trace the evolution of 112 characters associated with the external appearance and the lifestyle of winged insects. Our inferences suggest that the last common ancestors of Polyneoptera and of the winged insects were terrestrial throughout their lives, implying that wings did not evolve in an aquatic environment. The appearance of the first polyneopteran insect was mainly characterized by ancestral traits such as long segmented abdominal appendages and biting mouthparts held below the head capsule. This ancestor lived in association with the ground, which led to various specializations including hardened forewings and unique tarsal attachment structures. However, within Polyneoptera, several groups switched separately to a life on plants. In contrast to a previous hypothesis, we found that social behavior was not part of the polyneopteran ground plan. In other traits, such as the biting mouthparts, Polyneoptera shows a high degree of evolutionary conservatism unique among the major lineages of winged insects.