When the Highland regiments got going in the 18th century, kilt-wearing clansmen and soldiers wore the same underwear as everyone else: long shirt tails! (The shirt itself was considered "underwear" in that period.)
Later, actual underwear drawers (short and long) were developed, but the Highland regiments clung to their old practice of shirt-tails only, probably because the Army saw no real need to spend extra money issuing under-drawers to highlanders...!