Gills in a dolphin?

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Although dolphins live in water, they have lungs, just like any other mammal. As such, they return to the surface to breathe. Evolutionarily, dolphins originated from land mammals, and they inherited the lungs from their ancestors.
Dolphins and other cetaceans returned to the water approximately 50 million years ago. Long before that, around 350 million years ago, all vertebrates (including the ancestors of mammals) were fish-like and lived in water and had gills.

Dolphin embryology at the early stages is very similar to fish embryology and the structures that form the gills in a fish are called the the gill arches or branchial arches. These arches are also present in an embryonic dolphin (lines in section above). However, unlike fish, these membranes connecting these arches will not disappear to make a gill.