Locusts are grasshoppers that can form dense migrating swarms through an extreme form of density-dependent phenotypic plasticity, known as locust phase polyphenism. We present a comprehensive phylogeny of the genus Schistocerca, which contains both non-swarming grasshoppers and swarming locusts. We find that the desert locust, S. gregaria, which is the only Old World representative of the genus, is the earliest diverging lineage. This suggests that the common ancestor of Schistocerca must have been a swarming locust that crossed the Atlantic Ocean from Africa to America approximately 6 million years ago, giving rise to the current diversity in the New World. This also implies that density-dependent phenotypic plasticity is an ancestral trait for the genus. Through ancestral character reconstruction of reaction norms, we show that colour plasticity has been largely retained in most species in the genus, but behavioural plasticity was lost and regained at least twice. Furthermore, we show that swarming species do not form a monophyletic group and non-swarming species that are closely related to locusts often express locust-like plastic reaction norms. Thus, we conclude that individual reaction norms have followed different evolutionary trajectories, which have led to the evolutionary transition between grasshoppers and locusts - and vice versa.