Q: Do insects have blood? I stepped on a caterpillar once but it was full of greenish goo, but flies seem to splat red like red blood. Do mosquitoes have blood of their own in them before they bite a person?
A: Insects do have blood -- sort of. It's usually called hemolymph (or haemolymph) and is sharply distinguished from human blood and the blood of most animals that you would be likely to have seen by an absence of red blood cells. In a sense, as you might guess from the name, hemolymph plays a sort of double role, doing the jobs that both blood and the lymphatic system do in humans and other vertebrates.
Hemolymph is mostly water, plus various other odds and ends like amino acids, ions, lipids (fats), carbohydrates, etc., as well as some pigments, but these are rarely very strongly colored. Typical colors for hemolymph itself are greenish or yellowish. There are also some cells, called hemocytes, that float around in the hemolymph, but they are part of an insect's immune system.
In insects, most of the organs that need oxygen are pretty near the air, and ''breathing" is done by taking in oxygen through lots of little openings to the outside. The oxygen gets to where it's needed mainly by diffusion.
This, of course, can also happen via the hemolymph, but it's a pretty passive form of oxygen transport. There are some exceptions to the rule, and some insects do have pigments like hemoglobin -- at least one with copper in place of iron -- to help, but they are few and far between. Even when there is something like hemoglobin, there are no ''red blood cells."
Hemolymph also provides a means of lubricating things and getting nutrients to cells and carrying waste away. In case you're wondering: Yes, the little buggers do have hearts (of sorts) to pump the stuff around!
As you point out, mosquitoes do indeed have real blood in them after they have fed, but the red when you splat a house fly has a different and arguably more gruesome origin -- that red comes from a pigment in the fly's eyes.
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