The horned gall aphid, Schlechtendalia chinensis, inhabits the productive species of Chinese gallnuts, which have economic value. Aphid wax glands are crucial for the survival of the insects, since the secreted waterproofing wax is important to protect the aphids from predators, pathogens and honeydew contamination. In this study, we investigated the structure of wax glands and their role in different aphid stages using light and electron microscopy. Our results show that aphids of all stages except the newly hatched fundatrix possess six parallel dorsal lines and have a total of 56 wax gland plates. Although no wax glands occur on the dorsum of the newly hatched fundatrix (first instar), the glands do appear once a fundatrix enters the second instar. The wax gland plate is composed of 2–22 polygonal depressions, each of which corresponds to a secretory cell covered by cuticle. The wax glands of this aphid belong to the class 1 glands, which are formed by epidermal secretory cells. The structure of the wax glands varies in the different stages and these changes may be adaptive to the changeable microenvironments in which the aphids live.