Small Minnow Mayfly (family Baetidae) nymphs are strong swimmers that live in rivers, streams, lakes and ponds. They feed on organic debris and algae. Mayflies are the only insects where a winged form undergoes a further molt. When they first emerge from the water they are commonly called a dun (scientifically called the subimago stage). As duns, mayflies physically resemble the final adult stage, but they are sexually immature and duller in color (the eyes, legs and genitalia are not fully developed). Depending on the species, within anywhere from a few minutes to a few days, the dun will molt a final time into the sexually mature adult (or imago). The mature adults lead ephemeral lives, normally living only a day or two, and with only vestigial mouthparts, they do not eat. 
Photo by Kristi DuBois on 9/4/20 in Missoula, MT