The evolution of the adaptive immune system has provided vertebrates with a uniquely sophisticated immune toolkit, enabling them to mount precise immune responses against a staggeringly diverse range of antigens. Like other vertebrates, teleost fishes possess a complex and functional adaptive immune system; however, our knowledge of the complex antigen-receptor genes underlying its functionality has been restricted to a small number of experimental and agricultural species, preventing a systematic investigation of how these crucial gene loci evolve. Here, we analyse the genomic structure of the immunoglobulin heavy chain (IGH) gene loci in the cyprinodontiforms, a diverse and important group of teleosts present in many different habitats across the world. We reconstruct the complete IGH loci of the turquoise killifish (Nothobranchius furzeri) and the southern platyfish (Xiphophorus maculatus) and analyse their in vivo gene expression, revealing the presence of species-specific splice isoforms of transmembrane IGHM. We further characterise the IGH constant regions of ten additional cyprinodontiform species, including guppy, amazon molly, mummichog and mangrove killifish. Phylogenetic analysis of these constant regions suggests multiple independent rounds of duplication and deletion of the teleost-specific antibody class IGHZ in the cyprinodontiform lineage, demonstrating the extreme volatility of IGH evolution. Focusing on the cyprinodontiforms as a model taxon for comparative evolutionary immunology, this work provides novel genomic resources for studying adaptive immunity and sheds light on the evolutionary history of the adaptive immune system.