The objective of this research was to evaluate palatability, plasma biochemistry, antioxidative and anti-inflammatory capacity, and immune levels in cats by feeding supplementing inclusion of different levels of a mixture of protein hydrolysate from black soldier fly larvae and schizochytrium (BSFPs) in diets. In the feed experiment, a total of 24 adult cats (12 females and 12 males; BW: 3.02 ± 0.06 kg) were randomly divided into four groups: (1) diet with chicken and fish meal as primary protein resource (CON); (2) diet with 5% BSFPs replacing chicken meal, fish meal, chicken oil, and fish oil (5% BSFPs); (3) 10% BSFPs; and (4) 15% BSFPs. The body weight and feed intake were recorded, and a blood sample was collected for analysis. In the palatability experiment, three diets containing 5%, 10%, and 15% BSFPs were evaluated by comparing with CON. These results suggested that different levels of BSFPs could improve palatability in cat diets by enhancing the first sniff, the first bite, and feed intake (p < 0.05). However, no significant influence existed in body weight and average daily feed intake (p > 0.05). In comparison to the CON group, 5% and 15% BSFPs significantly increased the total protein content, and all treatment groups decreased the triglyceride content and enhanced the calcium concentration in plasma; in addition, the activity of aspartate aminotransferase and alanine aminotransferase and the content of creatinine and urea nitrogen were significantly reduced by the supplementation inclusion of BSFPs in the diets (p < 0.05). The enzyme activity of glutathione peroxidase was dramatically enhanced by the supplementation of 10% and 15% BSFPs in diets compared with the CON diet, and the activity of superoxide dismutase was increased and the malondialdehyde concentration was remarkably reduced in all three treatments (p < 0.05). Compared with the CON group, different levels of BSFPs in the diets significantly increased the immunoglobulin A content in plasma; similarly, the immunoglobulin G concentration was significantly enhanced by the supplementation of 10% and 15% BSFPs in the diets (p < 0.05). Furthermore, the interleukin-1β content was significantly reduced in the inclusion of 10% and 15% BSFPs in the diets, and 15% BSFPs remarkably decreased the content of interleukin-8 in plasma compared with the CON diet (p < 0.05). To sum up, the supplementation of different levels of BSFPs exhibited a positive effect on palatability and enhanced the antioxidant, anti-inflammatory, and immune capacity. Particularly, the addition levels of 10% and 15% BSFPs were more effective in antioxidation, anti-inflammation, and immunity.