Copy number variation (CNV) makes a major contribution to overall genetic variation and is suspected to play an important role in adaptation. However, aside from a few model species, the extent of CNV in natural populations has seldom been investigated. Here, we report on CNV in the pea aphid Acyrthosiphon pisum, a powerful system for studying the genetic architecture of host-plant adaptation and speciation thanks to multiple host races forming a continuum of genetic divergence. Recent studies have highlighted the potential importance of chemosensory genes, including the gustatory and olfactory receptor gene families (Gr and Or, respectively), in the process of host race formation. We used targeted resequencing to achieve a very high depth of coverage, and thereby revealed the extent of CNV of 434 genes, including 150 chemosensory genes, in 104 individuals distributed across eight host races of the pea aphid. We found that CNV was widespread in our global sample, with a significantly higher occurrence in multigene families, especially in Ors. We also observed a decrease in the gene probability of being completely duplicated or deleted (CDD) with increase in coding sequence length. Genes with CDD variants were usually more polymorphic for copy number, especially in the P450 gene family where toxin resistance may be related to gene dosage. We found that Gr were overrepresented among genes discriminating host races, as were CDD genes and pseudogenes. Our observations shed new light on CNV dynamics and are consistent with CNV playing a role in both local adaptation and speciation.