The growing world population, combined with scarcities of agricultural land, water, forest, fisheries, and biodiversity resources, makes it necessary to search for alternative sources of nutrients. For this reason, in recent years, edible insects have been introduced into the diet, even in areas where entomophagy is not traditional. In light of this, the present study aims at characterizing the aromatic profile of three edible insects flours: cricket (Acheta domesticus, CP), buffalo worm (Alphitobius diaperinus, BW), and mealworm (Tenebrio molitor, MW). This goal has been achieved by means of an (HS)-SPME/GC-MS strategy. 67 compounds have been tentatively identified; of these, 27 are present only in the CP and BW flours, while 10 are common in all three flours. The compound with the highest peak’s relative area in gas chromatograms of CP and BW flours is hexadecanoic acid, while in MW it is 1-heptylpyrrolidin-2-one. In general, we have observed that CP and BW flours have 37 compounds in common, and their volatile compositions along with their profiles are more similar to each other than to MW profile.