Arthropod head segments offer a paradigm for understanding the diversification of form during evolution, as a variety of morphologically diverse appendages have arisen from them. There has been long-running controversy, however, concerning which head appendages are homologous among arthropods, and from which ancestral arrangement they have been derived. This controversy has recently been rekindled by the proposition that the probable ancestral arrangement, with appendages on the first head segment, has not been lost in all extant arthropods as previously thought, but has been retained in the pycnogonids, or sea spiders. This proposal was based on the neuroanatomical analysis of larvae from the sea spider Anoplodactylus sp., and suggested that the most anterior pair of appendages, the chelifores, are innervated from the first part of the brain, the protocerebrum. Our examination of Hox gene expression in another sea spider, Endeis spinosa, refutes this hypothesis. The anterior boundaries of Hox gene expression domains place the chelifore appendages as clearly belonging to the second head segment, innervated from the second part of the brain, the deutocerebrum. The deutocerebrum must have been secondarily displaced towards the protocerebrum in pycnogonid ancestors. As anterior-most appendages are also deutocerebral in the other two arthropod groups, the Euchelicerata and the Mandibulata, we conclude that the protocerebral appendages have been lost in all extant arthropods.