Recently, insects have received increased attention as an important source of sustainable raw materials for animal feed, especially in fish, poultry, and swine. In particular, the most promising species are represented by the black soldier fly (Hermetia illucens, HI), the yellow mealworm (Tenebrio molitor, TM), and the common house fly (Musca domestica, MD). Although rapid development is expected, insects remain underutilized in the animal feed industry mainly due to technical, financial, and regulatory barriers. In addition, few works have analyzed consumer and stakeholder points of view towards the use of insects as animal feed. In this article, we summarize the main findings of this body of research and provide a discussion of consumer studies regarding the consumption of animals fed with insects. Our review suggests that consumer acceptance will not be a barrier towards the development of this novel protein industry. Furthermore, we conclude that it will be of interest to understand whether the use of this more sustainable feed source might increase consumer willingness to pay for animal products fed with insects and whether the overall acceptability, from a sensory point of view, will be perceived better than conventional products. Finally, the main challenges of the feed farming industry are addressed.