Recent models from theoretical physics have predicted that mass-migrating animal groups may share group-level properties, irrespective of the type of animals in the group. One key prediction is that as the density of animals in the group increases, a rapid transition occurs from disordered movement of individuals within the group to highly aligned collective motion. Understanding such a transition is crucial to the control of mobile swarming insect pests such as the desert locust. We confirmed the prediction of a rapid transition from disordered to ordered movement and identified a critical density for the onset of coordinated marching in locust nymphs. We also demonstrated a dynamic instability in motion at densities typical of locusts in the field, in which groups can switch direction without external perturbation, potentially facilitating the rapid transfer of directional information.