A new species, Baetis (Baetis) dihyaesp. nov., belonging to the Baetis alpinus species group, is described and illustrated based on larval material collected in the Aurès Mountains (northeastern Algeria) in 2020–2021. This new species is closely related to three European species, e.g., Baetis (B.) alpinus (Pictet, 1843); B. (B.) nubecularis Eaton, 1898; and B. (B.) pasquetorum Righetti & Thomas, 2002 by the combination of the following characteristics: (i) more than one short, stout bristle at the tip of segment II of the maxillary palp and (ii) a well-developed paracercus. However, the new species clearly differs from all congeners of the Baetis alpinus species group primarily by the (a) structure of mouthparts—with 14–18 long submarginal setae arranged in a single irregular row on the dorsal surface of the labrum; 2–6 short, stout bristles at the tip of segment II of the maxillary palp; and segment II of the labial palp without a considerably developed apico-internal lobe); (b) setation of abdominal terga, with a few triangular-shaped scales sparsely scattered near the posterior margin only; and (c) a well-developed paracercus, comprised of more than 50 segments. Primary data on the biology and distribution of this new species are provided, and molecular affinities are verified by the analysis of COI (barcode) sequences. Detailed notes on the distribution of mayfly species belonging to the Baetis alpinus species group common in Western Europe and the western part of North Africa are presented. The historical movement of Baetis representatives between Europe, North West Africa, and subsequently Algeria, with the land bridges ‘Strait of Gibraltar’ and ‘Strait of Sicily’ as colonization routes, is discussed in detail and identified in the present study as the Western Algeria colonization path and Eastern Algeria colonization path, respectively.