Currently, potentially harmful insects are controlled mainly by chemical synthetic insecticides, but environmental emergencies strongly require less invasive control techniques. The use of biological insecticides in the form of entomopathogenic organisms is undoubtedly a fundamental resource for the biological control of insect pests in the future. These infectious agents and endogenous parasites generally act by profoundly altering the host’s physiology to death, but their success is closely related to the neutralization of the target insect’s immune response. In general, entomopathogen parasites, entomopathogenic bacteria, and fungi can counteract immune processes through the effects of secretion/excretion products that interfere with and damage the cells and molecules typical of innate immunity. However, these effects are observed in the later stages of infection, whereas the risk of being recognized and neutralized occurs very early after penetration and involves the pathogen surface components and molecular architecture; therefore, their role becomes crucial, particularly in the earliest pathogenesis. In this review, we analyze the evasion/interference strategies that entomopathogens such as the bacterium Bacillus thuringiensis, fungi, nematocomplexes, and wasps implement in the initial stages of infection, i.e., the phases during which body or cell surfaces play a key role in the interaction with the host receptors responsible for the immunological discrimination between self and non-self. In this regard, these organisms demonstrate evasive abilities ascribed to their body surface and cell wall; it appears that the key process of these mechanisms is the capability to modify the surface, converting it into an immunocompatible structure, or interaction that is more or less specific to host factors.