We established a classical conditioning procedure for the cockroach, Periplaneta americana, by which odors were associated with reward or punishment. Cockroaches underwent differential conditioning trials in which peppermint odor was associated with sucrose solution and vanilla odor was associated with saline solution. Odor preference of cockroaches was tested by allowing them to choose between peppermint and vanilla sources. Cockroaches that had undergone one set of differential conditioning trials exhibited a significantly greater preference for peppermint odor than did untrained cockroaches. Memory formed by three sets of differential conditioning trials, with an inter-trial interval of 5 min, was retained at least 4 days after conditioning. This conditioning procedure was effective even for cockroaches that had been harnessed in plastic tubes. This study shows, for the first time in hemimetaborous insects, that both freely moving and harnessed insects are capable of forming olfactory memory by classical conditioning procedure. This procedure may be useful for future electrophysiological and pharmacological studies aimed at elucidation of neural mechanisms underlying olfactory learning and memory.