Grylloprimevala jilina Zhou & Ren is the third extant species of Grylloblattodea to be found in China. To understand the various physiological functions of the sensilla on the main sensory organs of G. jilina during its vital activities, this study used scanning electron microscopy to examine the sensilla morphology on its appendages and analyze their abundance and distribution on the antennae. The filiform antennae comprise scape, pedicel and flagellum. The maxillary palps comprise three segments, and the cerci contain four appendages in total. Altogether, 11 morphologically distinct sensilla types were identified on three organs: apertures; Böhm bristles (BB); sensilla auricillica (SA), sensilla basiconica (SB), sensilla campaniformia (SCa), sensilla capitulum (SCap), sensilla chaetica (SCh), sensilla coeloconica (SCo), sensilla filiform (SF) and sensilla trichodea (ST); and spines. Studies of the antennae of G. jilina have revealed that, except in some cases, the types and abundances of the sensilla gradually show a trend of diversification and enrichment as the antennae segments are extended forward. Functional predictions for the 11 morphologically distinct sensilla suggest that they include chemoreceptors, mechanoreceptors and temperature or humidity receptors. As wall‐pore sensilla, SA, SB, SCo and ST could be involved in the perception of chemical signals emitted from their living environment. In addition, as mechanical receptors, BB, SCa, SCh and SF may be involved in the perception and feedback of mechanical stimuli. Our findings provide an essential insight into this rare and national first‐class protected insect, and provide a necessary theoretical basis for studying the phylogeny of Grylloblattodea.