Wind is a major navigational cue for insects, but how wind direction is decoded by central neurons in the insect brain is unknown. Here we find that walking flies combine signals from both antennae to orient to wind during olfactory search behavior. Movements of single antennae are ambiguous with respect to wind direction, but the difference between left and right antennal displacements yields a linear code for wind direction in azimuth. Second-order mechanosensory neurons share the ambiguous responses of a single antenna and receive input primarily from the ipsilateral antenna. Finally, we identify novel “wedge projection neurons” that integrate signals across the two antennae and receive input from at least three classes of second-order neurons to produce a more linear representation of wind direction. This study establishes how a feature of the sensory environment—wind direction—is decoded by neurons that compare information across two sensors.