The dispersal of marine larvae determines the level of connectivity among populations, influences population dynamics, and affects evolutionary processes. Patterns of dispersal are influenced by both ocean currents and larval behavior, yet the role of behavior remains poorly understood. Here we report the first integrated study of the ontogeny of multiple sensory systems and orientation behavior throughout the larval phase of a coral reef fish-the neon goby, Elacatinus lori. We document the developmental morphology of all major sensory organs (lateral line, visual, auditory, olfactory, gustatory) together with the development of larval swimming and orientation behaviors observed in a circular arena set adrift at sea. We show that all sensory organs are present at hatch and increase in size (or number) and complexity throughout the larval phase. Further, we demonstrate that most larvae can orient as early as 2 days post-hatch, and they swim faster and straighter as they develop. We conclude that sensory organs and swimming abilities are sufficiently developed to allow E. lori larvae to orient soon after hatch, suggesting that early orientation behavior may be common among coral reef fishes. Finally, we provide a framework for testing alternative hypotheses for the orientation strategies used by fish larvae, laying a foundation for a deeper understanding of the role of behavior in shaping dispersal patterns in the sea.