Numerous insect species undertake regular seasonal migrations in order to exploit temporary breeding habitats [1]. These migrations are often achieved by high-altitude windborne movement at night [2-6], facilitating rapid long-distance transport, but seemingly at the cost of frequent displacement in highly disadvantageous directions (the so-called "pied piper" phenomenon [7]). This has lead to uncertainty about the mechanisms migrant insects use to control their migratory directions [8, 9]. Here we show that, far from being at the mercy of the wind, nocturnal moths have unexpectedly complex behavioral mechanisms that guide their migratory flight paths in seasonally-favorable directions. Using entomological radar, we demonstrate that free-flying individuals of the migratory noctuid moth Autographa gamma actively select fast, high-altitude airstreams moving in a direction that is highly beneficial for their autumn migration. They also exhibit common orientation close to the downwind direction, thus maximizing the rectilinear distance traveled. Most unexpectedly, we find that when winds are not closely aligned with the moth's preferred heading (toward the SSW), they compensate for cross-wind drift, thus increasing the probability of reaching their overwintering range. We conclude that nocturnally migrating moths use a compass and an inherited preferred direction to optimize their migratory track.