Phylogenetic niche conservatism is a pattern in which closely related species are more similar than distant relatives in their niche-related traits. Species in the family Psychodidae show notable diversity in climatic niche, and present an opportunity to test for phylogenetic niche conservatism, which is as yet rarely studied in insects. Some species (in the subfamily Phlebotominae) transmit Leishmania parasites, responsible for the disease leishmaniasis, and their geographic range has been systematically characterized. Psychodid genus ranges can be solely tropical, confined to the temperate zones, or span both. We obtained observation site data, and associated climate data, for 234 psychodid species to understand which aspects of climate most closely predict distribution. Temperature and seasonality are strong determinants of species occurrence within the clade. Next, we built a phylogeny of Psychodidae, and found a positive relationship between pairwise genetic distance and climate niche differentiation, which indicates strong niche conservatism. This result is also supported by strong phylogenetic signals of metrics of climate differentiation. Finally, we used ancestral trait reconstruction to infer the tropicality (i.e., proportion of latitudinal range in the tropics minus the proportion of the latitudinal range in temperate areas) of ancestral species, and counted transitions to and from tropicality states. We find that tropical and temperate species produced almost entirely tropical and temperate descendant species, respectively. Taken together, our results imply that climate niches in psychodids are strongly predicted by phylogeny, and represent a formal test of a key prediction of phylogenetic niche conservatism in a clade with implications for human health.