Insects are one of the most successful animals in nature, and entomopathogenic fungi play a significant role in the natural epizootic control of insect populations in many ecosystems. The interaction between insects and entomopathogenic fungi has continuously co-evolved over hundreds of millions of years. Many components of the insect innate immune responses against fungal infection are conserved across phyla. Additionally, behavioral responses, which include avoidance, grooming, and/or modulation of body temperature, have been recognized as important mechanisms for opposing fungal pathogens. In an effort to investigate possible crosstalk and mediating mechanisms between these fundamental biological processes, recent studies have integrated and/or explored immune and behavioral responses. Current information indicates that during discrete stages of fungal infection, several insect behavioral and immune responses are altered simultaneously, suggesting important connections between the two systems. This review synthesizes recent advances in our understanding of the physiological and molecular aspects influencing crosstalk between behavioral and innate immune antifungal reactions, including chemical perception and olfactory pathways.