Demand for new food sources and production methods is increasing due to overall population growth, as well as the aim towards more sustainable use of natural resources and circular economy. Edible insects already used in many parts of the world have recently attracted interest as a new protein source in Europe, and novel food acceptance procedures are ongoing in the European Union for several insect species. In this paper, the effects of substate on the nutritional value, especially the fatty acid composition, of edible insects were reviewed and correlation calculations performed. The nutritional value of edible insects is an important health aspect, in particular, a high content of good-quality protein and unsaturated fatty acids with essential fatty acids, and an optimal fatty acid n6/n3 ratio. On the basis of our findings, the nutrient content of insects can be modified by using a feed substrate carefully designed for each individual insect species. In addition, our correlation calculations demonstrated that the contents of linoleic and alpha linolenic acids in insects reflected the contents of these acids in the substrate. In conclusion, optimizing the composition and structure of the substrate and rearing conditions and duration for each insect species might also aid standardization of the nutritional composition of edible insects.