Immature mayflies are aquatic, and are known as nymphs or naiads. In contrast to their short lives as adults, they may live for several years in the water. They have an elongated, cylindrical or somewhat flattened body that passes through a number of instars (stages), moulting and increasing in size each time. When ready to emerge from the water, nymphs vary in length, depending on species, from 3 to 30 mm (0.12 to 1.18 in).3
From Wikipedia::
Immature mayflies are aquatic, and are known as nymphs or naiads. In contrast to their short lives as adults, they may live for several years in the water. They have an elongated, cylindrical or somewhat flattened body that passes through a number of instars (stages), moulting and increasing in size each time. When ready to emerge from the water, nymphs vary in length, depending on species, from 3 to 30 mm (0.12 to 1.18 in).3