In 2018, the industrial compound feed production throughout the world was 1.103 metric billion tons, which was an increase of 3% compared to 2017. In order to meet the needs of the increasing population, a further increment in compound feed production is necessary. Conventional protein sources are no longer suitable to completely satisfy the increment of feed production in a sustainable way. Insects are one of the most promising options, due to their valuable nutritional features. This paper reviews the state-of-the-art of research on the use of insect meals and oils in aquatic, avian and other animal species diets, focusing mainly on the effects on digestibility, performance and product quality. In general, insect-derived product digestibility is affected by the insect species, the inclusion levels and by the process. Sometimes, the presence of chitin can lead to a decrease in nutrient digestibility. The same considerations are true for animal performance. As far as product quality is concerned, a dramatic effect of insect products has been recorded for the fatty acid profile, with a decrease in valuable n3 fatty acids. Sensory analyses have reported no or slight differences. Insect-derived products seem to be a good alternative to conventional feed sources and can make an important contribution to the sustainable development of the livestock industry.