Chemoreception is a biological process essential for the survival of animals, as it allows the recognition of important volatile cues for the detection of food, egg-laying substrates, mates, or predators, among other purposes. Furthermore, its role in pheromone detection may contribute to evolutionary processes, such as reproductive isolation and speciation. This key role in several vital biological processes makes chemoreception a particularly interesting system for studying the role of natural selection in molecular adaptation. Two major gene families are involved in the perireceptor events of the chemosensory system: the odorant-binding protein (OBP) and chemosensory protein (CSP) families. Here, we have conducted an exhaustive comparative genomic analysis of these gene families in 20 Arthropoda species. We show that the evolution of the OBP and CSP gene families is highly dynamic, with a high number of gains and losses of genes, pseudogenes, and independent origins of subfamilies. Taken together, our data clearly support the birth-and-death model for the evolution of these gene families with an overall high gene turnover rate. Moreover, we show that the genome organization of the two families is significantly more clustered than expected by chance and, more important, that this pattern appears to be actively maintained across the Drosophila phylogeny. Finally, we suggest the homologous nature of the OBP and CSP gene families, dating back their most recent common ancestor after the terrestrialization of Arthropoda (380--450 Ma) and we propose a scenario for the origin and diversification of these families.