Edible insects have been suggested as a more sustainable source of protein, but their consumption varies according to geographical and sociocultural influences. Focusing on the different aspects that can influence people’s attitudes towards edible insects (EI), this work aimed to carry out the statistical validation of an instrument aimed at assessing different dimensions of this field: the KPEI (knowledge and perceptions about EI) scale. The instrument consists of 64 questions distributed by the following dimensions: Culture and Tradition, Gastronomic Innovation and Gourmet Kitchen, Environment and Sustainability, Economic and Social Aspects, Commercialization and Marketing, Nutritional Characteristics, and Health Effects. The data were collected in 13 countries (Croatia, Greece, Latvia, Lebanon, Lithuania, Mexico, Poland, Portugal, Romania, Serbia, Slovenia, Spain, and Turkey). The validation of the KPEI scale was made through Confirmatory Factor Analysis (CFA) and Structural Equation Modelling (SEM). The results revealed two acceptable models, both retaining 37 of the 64 initial items, distrusted by the seven dimensions as: Culture and Tradition (5 items), Gastronomic Innovation and Gourmet Kitchen (5 items), Environment and Sustainability (8 items), Economic and Social Aspects (5 items), Commercialisation and Marketing (4 items), Nutritional Aspects (6 items), Health Effects (4 items). Both multifactorial models resulting from the CFA/SEM analyses showed approximately equal goodness of statistical fit indices with values of Root Mean Square Error of Approximation (RMSEA), Root Mean Square Residual (RMR), and Standardized Root Mean Square Residual (SRMR) partially zero and values of Goodness of Fit Index (GFI) and Comparative Fit Index (CFI) approximately one, i.e., very close to a perfect fit. For the first-order model, the ratio between chi-square and degrees of freedom is χ2/df = 13.734, GFI = 0.932, CFI = 0.930, RMSEA = 0.043, RMR = 0.042, SRMR = 0.042; and for the second-order model χ2/df = 14.697, GFI = 0.926, CFI = 0.923, RMSEA = 0.045, RMR = 0.047, SRMR = 0.046). The values of composite reliability (CR = 0.967) and mean extracted variance (MEV = 0.448) are indicative of a good fit. Finally, the reliability analysis indicated a very good internal consistency (Cronbach’s α = 0.941). These results confirm the successful validation of the KPEI scale, making it a valuable instrument for future application at the international level.