While many terrestrial animals use celestial and terrestrial cues for orientation, subterranean animals lack access to these cues. The geomagnetic field serves as a reliable alternative cue for underground navigation. Subterranean mammals use the geomagnetic field to burrow and navigate within their nests; however, whether subterranean insects possess magnetoreception remains unclear. Here, we investigated the influence of magnetic fields on burrowing directions in subterranean mole crickets (Gryllotalpa orientalis). Under an intact magnetic field, mole crickets predominantly burrow in the north-south direction. However, when the magnetic field was rotated by 90°, the preferred burrowing direction shifted to the east-west axis. Notably, when the horizontal component of the geomagnetic field was reduced to near 0 μT, no preferred direction was observed. These results suggest that mole crickets have a magnetic sense and they align the direction at the beginning of burrowing. The study enhances our comprehension of underground orientation mechanisms in subterranean insects and reveals convergent evolution between insects and mammals in utilizing the geomagnetic field as a navigational cue.