Sand flies in the psychodid subfamily Phlebotominae carry important human pathogens in the trypanosomatid protozoan genus Leishmania (Cupolillo). Despite the fact that hundreds of sequences for this group are now publicly available, they constitute different sets of taxa and genetic markers. Integrating these data to construct a molecular phylogeny of the family is a significant bioinformatics challenge. We used sequences of eight markers obtained from freshly collected sand flies from Ethiopia and combined them with over 1300 publicly available sequences, performing a combined analysis after generating single terminal sequences from ancestral reconstructions for some individual markers. The resulting phylogeny had 113 terminals and recovered Phlebotominae and certain species groups as monopheletic. Although the 20 outgroups in Psychodinae were recovered as a well-resolved clade with bootstrap support for many internal clades, Phlebotominae was recovered as several lineages with unclear relationships among them. However, phlebotomines clustered by geographic region, the most notable being all the New World species except Brumptomyia (Galati), which were recovered as monophyletic. Our phylogeny suggests a Sub-Saharan African or South Asian origin for the subfamily, which subsequently expanded to the north and west, and eventually to the New World. Supported species groups are often composed of widespread species with overlapping ranges. This result highlights the need for a large increase in the amount and diversity of molecular sequence data, and a broad selection of terminals, to test taxonomic hypotheses and examine speciation processes in this important group of flies.