Sephiroth has appeared in the series with one black wing on his right side. As a sign of the dark powers he is using in the series, as well as his connection to Sephiroth, Cloud Strife bears a demonic black wing from his left shoulder.

What color is Sephiroth's wing?

Since appearing as Safer Sephiroth in the final battle of the game, Sephiroth has had a single black wing on his back, referencing his theme music "One Winged Angel". When Crisis Core: Final Fantasy VII was released, the staff stated that the reason the wing was black was to suggest evil.

Why does Sephiroth have a wing in Kingdom Hearts?

Sephiroth was a fetus imbued with Jenova cells, and that strengthened him beyond other humans. ... The wings in Sephiroth's final form, "Safer Sephiroth" are a result of his fusion with Jenova, hence why he has the one black wing.