The mulberry silkworm (Bombyx mori L.) is a common edible insect in many countries. However, the impact of thermal processing, especially regarding Thai silkworm powder, is poorly known. We, therefore, determined the optimum time for treatment in hot water and subsequent drying temperatures in the production of silkworm powder. The silkworms exposed to 90 °C water for 0, 5, 10, 15, and 20 min showed values of Total Phenolic Compounds (TPCs), 2,2-Diphenyl-1-picrylhydrazyl free radical scavenging (DPPH) assay, 2,2′-Azino-bis(3-ethylbenzothiazoline-6-sulfonic acid (ABTS) assay, and Ferric Reducing Antioxidant Power (FRAP) assay that were significantly (p < 0.05) higher at the 5 min exposure time compared with the other times. The reduction of microorganisms based on log CFU/g counts was ≥3 log CFU/g (99%) at the 5 min treatment. To determine the optimum drying temperature, the silkworms exposed to 90 °C water for 5 min were subjected to a hot-air dryer at 80, 100, 120, and 140 °C. The TPC value was the highest (p < 0.05) at 80 °C. The silkworm powder possessed significantly (p < 0.05) higher DPPH, ABTS radical scavenging ability, and ferric ion reducing capability (FRAP assay) at 80 °C compared with other drying temperatures. This study indicates that shorter exposure times to hot water and a low drying temperature preserve the antioxidant activities. High antioxidant activities (in addition to its known protein and fat content) suggest that silkworms and silkworm powder can make a valuable contribution to human health.