Very little information is available to zoo managers on the nutritional preferences of the lesser anteater, a highly specialized predator. By studying lesser anteater feeding behavior, we expect to contribute to improved management decisions and individual welfare experiences. We studied the response of zoo-housed lesser anteaters (n = 7) to feeders with live ants (Acromyrmex lundi) and termites (Cortaritermes fulviceps), and we also evaluated the nutritional values of these prey. We individually evaluated each lesser anteater (3 sessions), recording activities by camera. We ground insect samples into a coarse meal and evaluated in vitro biochemical parameters (humidity, lipids proteins, ash, and carbohydrates). Lesser anteaters spent more time with termites than with ants and consumed more termites. Ant meal presented a higher protein and lipid content than termite meal (35.28 ± 0.18% vs. 18.19 ± 0.34% and 16.95 ± 0.13% vs. 6.54 ± 0.31%, respectively), and carbohydrate digestibility was higher in termites. These findings indicate an association between the level of insect consumption and nutritional and digestibility values. This is the first exploration of lesser anteater responses to the presence of social insects in feeders and may serve to guide the study of food preferences in captivity.