The aim of this review is to discuss the usage of insect fats as an energy source in animal nutrition. Insects are a rich carrier of proteins, fat, and minerals. They are successfully introduced in animal diets (poultry, swine, rabbits, fish, and pets) as a source of many nutrients, including energy and essential fatty acids (FAs). The insects’ fat content and quality are highly affected by the type of substrate provided to the insects during the rearing period. The majority of the studies have shown that insect fats may be used as promising substitutes for conventional energy resources in animal nutrition without adverse effects on growth performance and feed utilization. They can positively affect meat quality by increasing the level of long-chain polyunsaturated FAs but may also positively influence animals by regulating the gut microbiota and stimulating the immune system. In conclusion, insect fat supplementation showed promising results in terms of their application in animal nutrition. However, compared to insect protein application, very few studies have been performed on insect fats. Therefore, because of the fat quality and content of insects, there is a need to extend experimentation regarding their implementation in animals’ diets as a replacement for conventional dietary energy resources.