Many physiological functions of insects show a rhythmic change to adapt to daily environmental cycles. These rhythms are controlled by a multi-clock system. A principal clock located in the brain usually organizes the overall behavioral rhythms, so that it is called the "central clock". However, the rhythms observed in a variety of peripheral tissues are often driven by clocks that reside in those tissues. Such autonomous rhythms can be found in sensory organs, digestive and reproductive systems. Using Drosophila melanogaster as a model organism, researchers have revealed that the peripheral clocks are self-sustained oscillators with a molecular machinery slightly different from that of the central clock. However, individual clocks normally run in harmony with each other to keep a coordinated temporal structure within an animal. How can this be achieved? What is the molecular mechanism underlying the oscillation? Also how are the peripheral clocks entrained by light-dark cycles? There are still many questions remaining in this research field. In the last several years, molecular techniques have become available in non-model insects so that the molecular oscillatory mechanisms are comparatively investigated among different insects, which give us more hints to understand the essential regulatory mechanism of the multi-oscillatory system across insects and other arthropods. Here we review current knowledge on arthropod's peripheral clocks and discuss their physiological roles and molecular mechanisms.