Bumblebees, as pollinators, play an important role in maintaining natural and agricultural ecosystems. Antennae with sensilla of bumblebees as social insects have essential effects in foraging, nest searching, courting, and mating, and are different in species and sexes. Previous studies on the morphology of antennae and sensilla in bumblebees have been limited to a few species and a single caste. To better understand how bumblebees detect and receive the chemical signal from nectariferous plants and foraging behavior, the morphology of antennae with sensilla, including the antennal length, and type, distribution, and number of antennal sensilla in four species, Bombus atripes, Bombus breviceps, Bombus flavescens, and Bombus terrestris was compared by scanning electron microscopy (SEM) herein. The total antennal length of queens are the longest and workers are the shortest in three castes, and in four species the longest of the total antennal length among three castes all are in B. flavescens, which is significantly longer than other species (p < 0.05) and the length of the scape in queens and workers are both longer than males, significantly different in queens (p < 0.05), and not significantly different in workers (p > 0.05), and the length of flagellums in females are not always shorter than males, of which the length of flagellms in queens of B. flavescens are significantly longer than males (p < 0.05), and the length of pedicel and all flagellomeres varies among species and castes. A total of 13 major types of sensilla in total were observed, including trichodea sensilla (TS A-E), placodea sensilla (PS A-B), basiconica sensilla (BaS), coeloconica sensilla (COS A-B), chaetic sensilla (CS A-B), and Böhm sensilla (BS), of which chaetic sensilla B (CS B), only observed in females of B. atripes, was firstly reported in Apidae. Moreover, the number of all sensilla was the most in males, the least was in workers, the number of sensilla varies within castes and species. Furthermore, the morphological characteristics of antennae and the potential functions of sensilla are discussed.