Edible insects have become a promising food source because they are rich in protein, fatty acids, minerals, among others. In recent years, edible insects have been proposed to be used as innovative functional ingredients in terms of biological activity. The present study aimed to determine and compare biological activities of the extracts and hydrolysates obtained from early- and adult-stage edible grasshoppers Sphenarium purpurascens to evaluate their potential as a source of bioactive compounds. Proximal analyses showed that in adult grasshoppers (AGs), the percentage of protein (48.9% ± 1.2), crude fat (13.1% ± 0.09), and chitin (15.6% ± 0.81) was significantly higher than early grasshoppers (EGs) (42.2% ± 0.55, 9.35% ± 0.08, and 10.5% ± 0.15, respectively). Total phenolic compounds, 2,2-diphenyl-1-picrylhydrazyl (DPPH•), and 2,2′-azinobis-(3-ethylbenzthiazoline-6-sulfonic acid) (ABTS•+) free radical scavenging were analyzed and reported. Enzymatic hydrolysis increased the concentration of total phenolic compounds and higher antioxidant capacity (up to 252.78 mM trolox). Once fractionated by ultrafiltration, the fraction that presented the highest antioxidant activity against DPPH• and ABTS•+ was that with molecules ≤ 10 kDa. Furthermore, the bioaccessibility of the samples was analyzed by in vitro protein digestion using a multienzymatic method, and a recovery index (RI) was reported. Extracts and hydrolysates were analyzed by UPLC-MS, and this allowed the identification of phenolic acids and flavonoids. The results obtained in this work suggest that the grasshopper can be used as a possible source of bioactive compounds that can be used in the food or pharmaceutical industry.