Does oxygen delivery become more challenging for insects as they increase in size? To partially test this hypothesis, we used quantitative light and electron microscopy to estimate the oxygen delivery capacity for two steps of tracheal oxygen delivery within the metathoracic femur (jumping leg) for 2nd instar (about 47 mg) and adult (about 1.7 g) locusts, Schistocerca americana. The fractional cross-sectional areas of the major tracheae running longitudinally along the leg were similar in adults and 2nd instars; however, since the legs of adults are longer, the mass-specific diffusive conductances of these tracheae were 4-fold greater in 2nd instars. Diffusive gas exchange longitudinally along the leg is easily possible for 2nd instars but not adults, who have many air sacs within the femur. Mitochondrial content fell proximally to distally within the femur in 2nd instars but not adults, supporting the hypothesis that diffusion was more important for the former. Lateral diffusing capacities of the tracheal walls were 12-fold greater in adults than 2nd instars. This was primarily due to differences in the smallest tracheal class (tracheoles), which had thinner epidermal and cuticular layers, greater surface to volume ratios, and greater mass-specific surface areas in adults. Adults also had greater mitochondrial contents, larger cell sizes and more intracellular tracheae. Thus, larger insects do not necessarily face greater problems with oxygen delivery; adult grasshoppers have superior oxygen delivery systems and greater mass-specific aerobic capacities in their legs than smaller/younger insects.