Zygaenid moths are capable of releasing hydrogen cyanide in their defense by enzymatic break-down of cyanoglucosides, but only larvae of chalcosiine and zygaenine moths store cyanogenic compounds in cuticular cavities and thus are able to discharge defense droplets, which effectively deter potential predators. A previously proposed phylogeny of Zygaenidae hypothesized a sister group relationship of chalcosiine and zygaenine moths because of their similar larval defense system. Not all chalcosiine taxa possess cuticular cavities, however, and a comparable defense mechanism has been reported in larvae of the zygaenoid family Heterogynidae. Considering sequence data of seven molecular loci, the present study estimates the posterior probability of phylogenetic hypotheses explaining the occurrence of larval cuticular cavities. The molecular data confirm the previous exclusion of Himantopteridae from Zygaenidae and suggest their close affinity to Somabrachyidae. The sequence data also corroborate the recently proposed exclusion of the Phaudinae from the Zygaenidae, because this subfamily is recovered in a reasonably well supported species cluster consisting of members of the families Lacturidae, Limacodidae, Himantopteridae, and Somabrachyidae. We consequently agree to raise Phaudinae to family rank. Within Zygaenidae, the subfamilies Callizygaeninae, Chalcosiinae, and Procridinae most likely constitute a monophyletic group, which is sister to the Zygaeninae. Our results imply that cuticular cavities were probably present in the larvae of the most recent common ancestor of Zygaenidae. Heterogynidae cannot be confirmed as sister taxon to this family, but appear at the very first split of the Zygaenoidea, although with poor support. The specific pattern of taxa in the molecular phylogeny showing larval cuticular cavities opens the possibility that these structures could have been already present in the most recent common ancestor of the Zygaenoidea.