Serial blockface scanning electron microscopy (SBSEM) is used to describe the sensory peripheral nervous system (PNS) in the tail of a cephalochordate, Asymmetron lucayanum. The reconstructed region extends from the tail tip to the origin of the most posterior peripheral nerves from the dorsal nerve cord. As peripheral nerves ramify within the dermis, all the nuclei along their course belong to glial cells. Invaginations in the glial cell cytoplasm house the neurites, an association reminiscent of the nonmyelinated Schwann cells of vertebrates. Peripheral nerves pass from the dermis to the epidermis via small fenestrae in the sub-epidermal collagen fibril layer; most nerves exit abruptly, but a few run obliquely within the collagen fibril layer for many micrometers before exiting. Within the epidermis, each nerve begins ramifying repeatedly, but the branches are too small to be followed to their tips with SBSEM at low magnification (previous studies on other cephalochordates indicate that the branches end freely or in association with epidermal sensory cells). In Asymmetron, two morphological kinds of sensory cells are scattered in the epidermis, usually singly, but sometimes in pairs, evidently the recent progeny of a single precursor cell. The discussion considers the evolution of the sensory PNS in the phylum Chordata. In cephalochordates, Retzius bipolar neurons with intramedullary perikarya likely correspond to the Rohon-Beard cells of vertebrates. However, extramedullary neurons originating from ventral epidermis in cephalochordates (and presumably in ancestral chordates) contrast with vertebrate sensory neurons, which arise from placodes and neural crest.