Early insects did not produce a lot of fossils. There is a gap between 385 and 300 million years ago that is devoid of known fossils. The fossils that might have been produced during this period were likely small insects that are difficult to recognize. Few rock formations deposited during the period are exposed to the surface which means that few potential sites are available. During The Hexapoda Gap, insects diversified and evolved many new adaptations including the evolution of wings. Prior to the gap, the only insect fossils may be suggestive, but do not show wings. After the gap, we find fossils with fully developed complext wing structures. As a consequence, we are left to guess about the evolution of insect flight, when it happened and what type of insect first developed powered flight. If new fossils can be located from this period, they could have a profound effect on our model of insect evolution.
Nel and colleagues* review the fossils and produce this useful graphic in a publication in the journal, Nature*. This clearly demostrates the gap in fossils that leaves a gap in our knowledge.
* Nel, Andre; Roques, Patrick; Nel, Patricia; Prokin, Alexander A.; Bourgoin, Thierry; Prokop, Jakub; Szwedo, Jacek; Azar, Dany; Desutter-Grandcolas, Laure; Wappler, Torsten; Garrouste, Romain; Coty, David; Huang, Diying; Engel, Michael S.; Kirejtshuk, Alexander G. 2013. The earliest known holometabolous insects. Nature. 503: 257 261.