Actinopterygians (ray‐finned fishes) are the most diversified group of vertebrates and are characterized by a variety of protective structures covering their integument, the evolution of which has intrigued biologists for decades. Paleontological records showed that the first mineralized vertebrate skeleton was composed of dermal bony plates covering the body, including odontogenic and skeletogenic components. Later in evolution, the exoskeleton of actinopterygian's trunk was composed of scale structures. Although scales are nowadays a widespread integument cover, some contemporary lineages do not have scales but bony plates covering their trunk, whereas other lineages are devoid of any such structures. To understand the evolution of the integument coverage and particularly the transition between different structures, we investigated the pattern of scale loss events along with actinopterygian evolution and addressed the functional relationship between the scaleless phenotype and the ecology of fishes. Furthermore, we examined whether the emergence of trunk bony plates was dependent over the presence or absence of scales. To this aim, we used two recently published actinopterygian phylogenies, one including >11,600 species, and by using stochastic mapping and Bayesian methods, we inferred scale loss events and trunk bony plate acquisitions. Our results reveal that a scaled integument is the most frequent state in actinopterygians, but multiple independent scale loss events occurred along their phylogeny with essentially no scale re‐acquisition. Based on linear mixed models, we found evidence supporting that after a scale loss event, fishes tend to change their ecology and adopt a benthic lifestyle. Furthermore, we show that trunk bony plates appeared independently multiple times along the phylogeny. By using fitted likelihood models for character evolution, we show that trunk bony plate acquisitions were dependent on a previous scale loss event. Overall, our findings support the hypothesis that integument cover is a key evolutionary trait underlying actinopterygian radiation.