The malaria mosquito, Anopheles stephensi, and other mosquitoes modulate their biology to match the time-of-day. In the present work, we used a non-hypothesis driven approach (untargeted proteomics) to identify proteins in mosquito tissue, and then quantified the relative abundance of the identified proteins from An. stephensi bodies. Using these quantified protein levels, we then analyzed the data for proteins that were only detectable at certain times-of-the day, highlighting the need to consider time-of-day in experimental design. Further, we extended our time-of-day analysis to look for proteins which cycle in a rhythmic 24-hour (“circadian”) manner, identifying 31 rhythmic proteins. Finally, to maximize the utility of our data, we performed a proteogenomic analysis to improve the genome annotation of An. stephensi. We compare peptides that were detected using mass spectrometry but are ‘missing’ from the An. stephensi predicted proteome, to reference proteomes from 38 other primarily human disease vector species. We found 239 such peptide matches and reveal that genome annotation can be improved using proteogenomic analysis from taxonomically diverse reference proteomes. Examination of ‘missing’ peptides revealed reading frame errors, errors in gene-calling, overlapping gene models, and suspected gaps in the genome assembly.