Haemoproteus parasites are the most diverse among Haemosporida. However, their natural vectors (Culicoides) are still poorly investigated and were identified for only a few parasite species and lineages. The application of an integrative approach (insect dissection, microscopic analysis, and molecular-based methods) is necessary in these studies, which have been carried out by a few research groups, mainly in Europe. The aim of this study was (i) to determine the Culicoides species that are naturally infected by Haemoproteus parasites, and which can support its complete sporogonic development, and (ii) to investigate the prevalence of Culicoides species and Haemoproteus parasite lineages in different study sites. In total, 1953 parous Culicoides females, from 11 species, were collected in four different localities in Lithuania and were dissected and analyzed using an integrative approach. The most abundant was C. pictipennis (30.3%). Parasite DNA was found in 7.9% of all investigated Culicoides, of which ~30% had sporozoites in their salivary glands, confirming their vector competence for these parasites. The Botanical Garden presented the highest number of Culicoides parous females, Culicoides species, and parasite lineages, as well as the highest positivity for sporozoites. Culicoides reconditus was confirmed as a natural vector of Haemoproteus parasites, sporozoites of six Haemoproteus lineages were reported for the first time, and 12 new interactions between Haemoproteus parasite lineages and Culicoides species were identified. Haemoproteus parasites seem to be transmitted by a high number of Culicoides species, with C. kibunensis, C. pictipennis, and C. segnis being the most important vectors.