The growing world population necessitates the implementation of appropriate processing technologies for edible insects. The objective of this study was to examine the impact of distinct drying techniques, including convective drying at 70 °C (70CD) and 90 °C (90CD) and freeze-drying (FD), on the drying kinetics, physical characteristics (water activity, color), chemical characteristics (chemical composition, amino acid profile, oil properties, total polyphenol content and antioxidant activity, mineral composition, FTIR), and presence of hazards (allergens, microorganisms) of blanched yellow mealworm larvae. The freeze-drying process results in greater lightness and reduced moisture content and water activity. The study demonstrated that the freeze-dried insects exhibited lower contents of protein and essential amino acids as compared to the convective-dried insects. The lowest content of total polyphenols was found in the freeze-dried yellow mealworm larvae; however, the highest antioxidant activity was determined for those insects. Although the oil isolated from the freeze-dried insects exhibited the lowest acid and peroxide values, it proved to have the lowest PUFA content and oxidative stability. All the samples met the microbiological criteria for dried insects. The results of the study demonstrate that a high temperature during the CD method does not result in the anticipated undesirable changes. It appears that freeze-drying is not the optimal method for preserving the nutritional value of insects, particularly with regard to the quality of protein and oil.