The ingestion of insects has become a new trend in food science approximately since 2013, when the Food and Agriculture Organization of the United Nations (FAO) published a document entitled “Edible Insects: Future Perspectives of Food and Nutrition Security”. Since then, a growing number of researches relating insects as a food source has emerged, however, little is known about the composition of their nutrients. This review describes and compares the nutritional composition, functionality and the bioactive compounds present in different insects, as these have been shown to be a source of healthy food with high protein content, significant amount of lipids, vitamins, minerals and fibers, present in the form of chitin in the exoskeleton of the insects. Additionally, the issues related to entomophagy and the possible risks that should be taken into account when consuming insects are discussed.