Water exchange between insects and their environment via the vapour phase includes influx and efflux components. The pressure cycle theory postulates that insects (and some other arthropods) can regulate the relative rates of influx and efflux of water vapour by modulating hydrostatic pressures at a vapour-liquid interface by compressing or expanding a sealed, gas-filled cavity. Some such cavities, like the tracheal system, could be compressed by elevated pressure in all or part of the haemocoele. Others, perhaps including the muscular rectum of flea prepupae, could be compressed by intrinsic muscles. Maddrell (Adv. Insect Physiol. 8, 199 (1971)) suggested a pressure cycle mechanism of this kind to account for rectal uptake of water vapour in Thermobia but did not find it compatible with quantitative information then available. Newer evidence conforms better with the proposed mechanism. Cyclical pressure changes are of widespread occurrence in insects and have sometimes been shown to depend on water status. Evidence is reviewed for the role of the tracheal system as an avenue for net exchange of water between the insect and its environment. Because water and respiratory gases share common pathways, most published findings fail to distinguish between the conventional view that the tracheal system has evolved as a site for distribution and exchange of respiratory gases and that any water exchange occurring in it is generally incidental and nonadaptive, and the theory proposed here. The pressure cycle theory offers a supplementary explanation not incompatible with evidence so far available. The relative importance of water economy and respiratory exchange in the functioning of compressible cavities such as the tracheal system remains to be explored. Some further implications of the pressure cycle theory are discussed. Consideration is given to the possible involvement of vapour-phase transport in the internal redistribution of water within the body. It is suggested that some insect wings may constitute internal vapour-liquid exchange sites, where water can move from the body fluids to the intratracheal gas. Ambient and body temperature must influence rates of vapour-liquid mass transfer. If elevated body temperature promotes evaporative discharge of the metabolic water burden that has been shown to accumulate during flight in some large insects, their minimum threshold thoracic temperature for sustained flight may relate to the maintenance of water balance. The role of water economy in the early evolution of insect wings is considered. Pressure cycles might help to maintain water balance in surface-breathing insects living in fresh and saline waters, but the turbulence of the surface of the open sea might prevent truly marine forms from using this mechanism.