The lungs of cetaceans undergo anatomical and physiological adaptations that facilitate extended breath‐holding during dives. Here, we present new insights on the ontogeny of the microscopic anatomy of the terminal portion of the airways of the lungs in five cetacean species: the fin whale (Balaenoptera physalus); the sperm whale (Physeter macrocephalus), the Cuvier's beaked whale (Ziphius cavirostris); the bottlenose dolphin (Tursiops truncatus); and the striped dolphin (Stenella coeruleoalba). We (a) studied the histology of the terminal portion of the airways; (b) used immunohistochemistry (IHC) to characterize the muscle fibers with antibodies against smooth muscle (sm‐) actin, sm‐myosin, and desmin; (c) the innervation of myoelastic sphincters (MESs) with an antibody against neurofilament protein; and (d) defined the diameter of the terminal bronchioles, the diameter and length of the alveoli, the thickness of the septa, the major and minor axis, perimeter and section area of the cartilaginous rings by quantitative morphometric analyses in partially inflated lung tissue. As already reported in the literature, in bottlenose and striped dolphins, a system of MESs was observed in the terminal bronchioles. Immunohistochemistry confirmed the presence of smooth muscle in the terminal bronchioles, alveolar ducts, and alveolar septa in all the examined species. Some neurofilaments were observed close to the MESs in both bottlenose and striped dolphins. In fin, sperm, and Cuvier's beaked whales, we noted a layer of longitudinal smooth muscle going from the terminal bronchioles to the alveolar sacs. The morphometric analysis allowed to quantify the structural differences among cetacean species by ranking them into groups according to the adjusted mean values of the morphometric parameters measured. Our results contribute to the current understanding of the anatomy of the terminal airways of the cetacean lung and the role of the smooth muscle in the alveolar collapse reflex, crucial for prolonged breath‐holding diving.