Due to the intensive development of technologies for obtaining protein, energy feed and biologically active supplements from insects, the feasibility and effectiveness of introducing these products into the rations of farm animals require further study. This research aims to study the possibility and effects of feeding dairy cows fat from the larvae of the black soldier fly (BSFLF). The composition and properties of the BSFLF have been studied. The research of the fatty acid composition of BSFLF showed a high content of saturated fatty acids, including 58.9% lauric acid. The experiment was performed on black-and-white cows at the beginning of lactation (control, D0 (n = 12) vs. experimental D10 (n = 12) and D100 (n = 12) groups, 10 and 100 g/head/day BSFLF, respectively. There was no negative effect of BSFLF feeding on the process of feed digestion. The pH of the rumen content decreased (6.80 ± 0.07 & 6.85 ± 0.09 vs. 7.16 ± 0.06, p < 0.05), with an increase in the number of infusoria (0.27 ± 0.03&0.37 ± 0.09 vs. 0.18 ± 0.03 g/100 mL, p = 0.16); there was an increase in the concentration of VFA in the rumen content of animals of the experimental groups by 2.1 (p < 0.05) and 3.81 (p < 0.01) (8.66 ± 0.46 & 10.37 ± 0.42 vs. 6.56 ± 0.29) mmol/100 mL. The average daily milk yield of Group D10 cows over the experimental period (d17–d177) was slightly higher than the control (by 4.9%, p = 0.24 vs. Group D0). At the same time, Group D100 cows showed a significant increase in natural-fat milk compared to controls (by 8.0%, p < 0.05 vs. Group D0) over the same experiment period. Analysis of the fatty acid composition of the milk of the experimental animals showed some changes in the fatty acid composition of milk under the influence of BSFLF feeding; these changes were especially noticeable in Group D10. Thus, it was found that feeding dairy cows BSFLF at different dosages leads to better indicators of pre-gastric digestion and productivity.