In this study, the inclusion of water fly (Notonecta sp., NT) meal was compared with conventional protein sources such as soybean meal (SBM) and fish meal (FM) in diets destined for sheep, with specific reference to growth performance, nutrient intake, nitrogen balance, and in vitro rumen fermentation parameters. For 21 days, 18 male Suffolk lambs were randomly assigned to three experimental diets fed: (1) SBM at 130 g/kg dry matter (DM), as a plant‐based protein diet; (2) FM at 50 g/kg DM, as an animal‐based protein diet; and (3) NT at 60 g/kg DM, as an insect‐based protein diet, for ad libitum feed intake. DM intake was similar among the treatments. The digestibility of DM (p = 0.006) and organic matter (p = 0.002) in the NT group was lower than that of SBM. In vitro rumen fermentation data showed that there were no differences between the treatments for DM degradation and the production of microbial crude protein. No differences were observed among the treatments in terms of enteric methane production. The NT diet produced the lowest NH3‐N at hours 12 and 24 (p = 0.032 and 0.021, respectively). Overall, the dietary inclusion of NT for fattening lambs could be an alternative feeding strategy without deleterious effects on animal performance.