Plants, insects, and fungi have successfully colonized almost all terrestrial ecosystems, and their interactions have been the subject of numerous studies in recent decades. Plant-associated fungi include endophytic, arbuscular mycorrhizal, ambrosia, saprotrophic, pathogenic, and floral fungi. These fungi interact with insects through various mechanisms, including the modification of plant nutritional quality and degradation of plant defensive allelochemicals that are toxic to insects. Additionally, certain fungi assist plants in defending against insect attacks. Correspondingly, insects have evolved sophisticated nervous, digestive, and muscular systems that assist them in recognizing, preying on, and dispersing plant-associated fungi; these organ systems allow insects to detect and respond to various chemical signatures in the environment. Insects can be nourished, attracted, repelled, poisoned, and killed by chemical molecules produced by plant-associated fungi, which could be beneficial or detrimental to plants. This review summarizes the functions of different chemicals from the perspective of plant-fungus-insect interactions and discusses the challenges and future perspectives in this chemical ecology research field.