We report on the all-optical detection of Rydberg states in an effusive atomic beam of strontium atoms using electromagnetically induced transparency (EIT). Using narrow-linewidth CW lasers we obtain an EIT linewidth of 5MHz. To illustrate the high spectroscopic resolution offered by this method, we have measured isotope shifts of the 5s18d(1)D(2) and 5s19s(1)S(0) Rydberg states. This technique could be applied to high-resolution, non-destructive measurements of ultra-cold Rydberg gases and plasmas.