Background: Insect venom allergy is common and greatly impairs patients’ quality of life. Additionally, low compliance with carrying emergency medication is reported. The aim of our study was to analyze the disease burden, levels of anxiety and depression, and to evaluate attitudes towards the set of emergency medication in affected patients. Methods: Between April 2016 and January 2017, patients ≥18 years visiting our department because of an insect venom allergy were asked to complete a paper-based questionnaire. The questionnaire assessed willingness to pay (WTP), the Hospital Anxiety and Depression Scale (HADS), subjective anxiety levels, willingness to carry the set of emergency medication, self-assurance in using it, compliance with carrying it, and reasons for not always carrying it. Results: 55 patients (81.8% wasp allergy) were included. On average, WTP for a complete cure was EUR 1,727 (median: 500). Using the HADS, 14.5% showed definite anxiety disorders while 5.5% had significant depression disorders. Most patients stated to carry the emergency medication “always” (25.5%) or “almost always” (47.3%). “Forgetfulness” (36.4%) was reported as the main reason for not always carrying the medication, followed by “too big” (18.2%). Conclusions: In our patient cohort, insect venom allergy was associated with a moderate disease burden and a good compliance with carrying the emergency medication. However, several of our participants demonstrated borderline or significant anxiety and/or depression disorders. In this regard, this study highlights the necessity to regularly ask the patient about the psychological well-being to identify patients needing psychological support.