Filariasis is classified as a vector-borne zoonotic disease caused by several filarial nematodes. The disease is widely distributed in tropical and subtropical regions. Understanding the relationship between mosquito vectors, filarial parasites, and vertebrate hosts is therefore essential for determining the probability of disease transmission and, correspondingly, developing effective strategies for prevention and control of diseases. In this study, we aimed to investigate the infection of zoonotic filarial nematodes in field-caught mosquitoes, observe the potential vectors of filaria parasites in Thailand using a molecular-based survey, conduct a study of host-parasite relationship, and propose possible coevolution of the parasites and their hosts. Mosquitoes were collected around cattle farms in Bangkok, Nakhon Si Thammarat, Ratchaburi, and Lampang provinces from May to December 2021 using a CDC Backpack aspirator for 20–30 minutes in each area (intra-, peri-, and wild environment). All mosquitoes were identified and morphologically dissected to demonstrate the live larvae of the filarial nematode. Furthermore, all samples were tested for filarial infections using PCR and sequencing. A total of 1,273 adult female mosquitoes consisted of five species: 37.78% Culex quinquefasciatus, 22.47% Armigeres subalbatus, 4.71% Cx. tritaeniorhynchus, 19.72% Anopheles peditaeniatus, and 15.32% An. dirus. Larvae of Brugia pahangi and Setaria labiatopapillosa were found in Ar. subalbatus and An. dirus mosquitoes, respectively. All mosquito samples were processed by PCR of ITS1 and COXI genes for filaria nematode species identification. Both genes showed that B. pahangi was found in four mosquitoes of Ar. subalbatus from Nakhon Si Thammarat, S. digitata was detected in three samples of An. peditaeniatus from Lampang, and S. labiatopapillosa was detected in one of An. dirus from Ratchaburi. However, filarial nematodes were not found in all Culex species. This study infers that this is the first data regarding the circulation of Setaria parasites in Anopheles spp. from Thailand. The phylogenetic trees of the hosts and parasites are congruent. Moreover, the data could be used to develop more effective prevention and control strategies for zoonotic filarial nematodes before they spread in Thailand.