What structure in insects allows for oxygen to enter their body?

The structure in insects that allows oxygen to diffuse into their body is the spiracle.

Insects are animals that belong to the class Insecta in the phylum Arthropoda. They have a segmented body that is divided into 3 majors parts:

In addition, insects have jointed appendages and an exoskeleton made largely of chitinous proteins.

Gaseous exchange in insects is tracheal. The trachea is a network of tubes that lead to openings in the body of insects known as spiracles. In other words, air enters through the spiracle and connects to the trachea tubes where gaseous exchange occurs.

More on gaseous exchange in insects can be found here: link

Oxygen travels to insect tissues through tiny openings in the body walls called spiracles, and then through tiny blind-ended, air-filled tubes called tracheae.