Biorational insecticides of natural origin, such as avermectins, spinosins, azadirachtin and afidopyropen, are increasingly used in agriculture. The present paper reviews modern ecological, genomic, and biotechnological approaches to the search for new compounds with insecticidal properties (entomotoxic, antifeedant, and hormonal) produced by fungi of various ecological groups (entomopathogens, soil saprotrophs, endophytes, phytopathogens, and mushrooms). The literature survey showed that insecticidal metabolites of entomopathogenic fungi had not been sufficiently studied, and the majority of well-characterized compounds had showed moderate insecticidal activity. The greatest number of substances with insecticidal properties was found to be produced by soil fungi, mainly from the genera Aspergillus and Penicillium. Metabolites with insecticidal and antifeedant properties were also found in endophytic and phytopathogenic fungi. Low sensitivity of insect pests of stored products (in particular, of grain) to mycotoxins was recorded. Mushrooms were found to be promising producers of antifeedant compounds as well as insecticidal proteins. It is possible to increase the number of substances with insecticidal properties detected in fungi not only by extension of the screening range but also by exploitation of diverse bioassay sytems and model insect species. Mining genomes for secondary metabolite gene clusters and secreted proteins with their subsequent activation by various methods allows for better understanding of the biosynthetic potential of the prospective strains. Efficacy of these studies can be increased with high-throughput techniques of fungal metabolites extraction and further analysis using chromatography and mass spectrometry. Insecticidal proteins detected in fungi can be used in the technologies for development of transgenic plant varieties resistant to pests, or hypervirulent bioinsecticides.