For the most part, nymphs are juvenile forms of insects:
Nymphs of aquatic insects, as in the orders Odonata (dragonflies and damselflies), Ephemeroptera (mayflies), and Plecoptera (stoneflies) are also called naiads, which is an Ancient Greek name for mythological water nymphs, who would lure men to their deaths with their cold black hearts. In older literature, these were sometimes referred to as the heterometabolous insects, as their adult and immature stages live in different environments (terrestrial vs. aquatic)
Of course there are also these forms of nymphs, which definitely don't turn into insects:
Other nymphs, always in the shape of young maidens, were part of the retinue of a god, such as Dionysus, Hermes, or Pan, or a goddess, generally the huntress Artemis. Nymphs were the frequent target of satyrs. They are frequently associated with the superior divinities: the huntress Artemis; the prophetic Apollo; the reveller and god of wine, Dionysus; and rustic gods such as Pan and Hermes.
Now, let's not get started on "What are Flymphs" please....