The wheat stem sawfly, Cephus cinctus, is a major pest of wheat and key ecological player in the grasslands of western North America. It also represents the distinctive Cephoidea superfamily of sawflies (Symphyta) that appeared early during the hymenopteran radiation, but after three early-branching eusymphytan superfamilies that form the base of the order Hymenoptera. We present a high-quality draft genome assembly of 162 Mbp in 1,976 scaffolds with a scaffold N50 of 622 kbp. Automated gene annotation identified 11,210 protein-coding gene models and 1,307 non-coding RNA models. Thirteen percent of the assembly consists of ∼58,000 transposable elements partitioned equally between Class-I and Class-II elements. Orthology analysis reveals that 86% of Cephus proteins have identifiable orthologs in other insects. Phylogenomic analysis of conserved subsets of these proteins supports the placement of the Cephoidea between the Eusymphyta and the parasitic woodwasp superfamily Orussoidea. Manual annotation and phylogenetic analysis of families of odorant, gustatory, and ionotropic receptors, plus odorant binding proteins, shows that Cephus has representatives for most conserved and expanded gene lineages in the Apocrita (wasps, ants, and bees). Cephus has also maintained several insect gene lineages that have been lost from the Apocrita, most prominently the carbon dioxide receptor subfamily. Furthermore, Cephus encodes a few small lineage-specific chemoreceptor gene family expansions that might be involved in adaptations to new grasses including wheat. These comparative analyses identify gene family members likely to have been present in the hymenopteran ancestor and provide a new perspective on the evolution of the chemosensory gene repertoire.