A diverse range of endosymbionts are found within the cells of animals. As these endosymbionts are normally vertically transmitted, we might expect their evolutionary history to be dominated by host-fidelity and cospeciation with the host. However, studies of bacterial endosymbionts have shown that while this is true for some mutualists, parasites often move horizontally between host lineages over evolutionary timescales. For the first time, to our knowledge, we have investigated whether this is also the case for vertically transmitted viruses. Here, we describe four new sigma viruses, a group of vertically transmitted rhabdoviruses previously known in Drosophila. Using sequence data from these new viruses, and the previously described sigma viruses, we show that they have switched between hosts during their evolutionary history. Our results suggest that sigma virus infections may be short-lived in a given host lineage, so that their long-term persistence relies on rare horizontal transmission events between hosts.