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Simple Summary: The Ephemeroptera is an ancient lineage of insects, among which the Heptageniidae is one of the most species-rich families, although its phylogenetic relationships have been controversial. The mitogenomes of Heptageniidae were found gene rearrangements of CR-I-M-Q-M-ND2 and a conserved intergenic gap between trnA and trnR. Thus, 15 complete and two nearly complete mitogenomes of Heptageniidae were used to explore mitogenome structures and clarify the disputes of phylogenetic relationships among Heptageniidae. Additionally, the Heptageniidae samples collected from habitats with significant temperature differences were applied to investigate the adaptive evolution of mitochondrial PCGs under low-temperature stress. We determined 15 complete and two nearly complete mitogenomes of Heptageniidae belonging to three subfamilies (Heptageniinae, Rhithrogeninae, and Ecdyonurinae) and six genera (Afronurus, Epeorus, Leucrocuta, Maccaffertium, Stenacron, and Stenonema). Species of Rhithrogeninae and Ecdyonurinae had the same gene rearrangement of CR-I-M-Q-M-ND2, whereas a novel gene rearrangement of CR-I-M-Q-NCR-ND2 was found in Heptageniinae. Non-coding regions (NCRs) of 25–47 bp located between trnA and trnR were observed in all mayflies of Heptageniidae, which may be a synapomorphy for Heptageniidae. Both the BI and ML phylogenetic analyses supported the monophyly of Heptageniidae and its subfamilies (Heptageniinae, Rhithrogeninae, and Ecdyonurinae). The phylogenetic results combined with gene rearrangements and NCR locations confirmed the relationship of the subfamilies as (Heptageniinae + (Rhithrogeninae + Ecdyonurinae)). To assess the effects of low-temperature stress on Heptageniidae species from Ottawa, Canada, we found 27 positive selection sites in eight protein-coding genes (PCGs) using the branch-site model. The selection pressure analyses suggested that mitochondrial PCGs underwent positive selection to meet the energy requirements under low-temperature stress. [ABSTRACT FROM AUTHOR]