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This research aims to advance knowledge on the impact of four processing methods on volatile compounds from insect-based baked products (cookies) to provide insights on consumer acceptance. Samples were exposed to double step enzyme digestive test, volatiles characterized through headspace analysis, while semi-trained panelists were recruited for the sensory test. Blanched and boiled samples of R. differens had considerably higher digestibility (83.42% and 81.61%, respectively) (p < 0.05) than toasted and deep-fried samples. Insect-based cookie products integrated with blanched and boiled R. differens meal expressed higher digestibility (80.41% and 78.73%, respectively) that was comparable to that of commercial cookie products (control cookies-CTRC with 88.22%). Key volatile compounds common between the various cookie products included, nonanal, octanal, methyl-pyrazine, hexanal, tetradecane, 2-pentylfuran, 2-heptanone, 2E-octenal, 2E-heptenal and dodecane. Among the volatile compounds, pleasant aromas observed were 2E,4E-dodecadienal, pentanal, octanal, methyl pyrazine, furfurals, benzaldehyde, and 2-pentyl furan, which were more pronounced in cookies fortified with boiled, toasted and deep-fried R. differens meal. There was a greater resemblance of sensory characteristics between control cookies and those fortified with deep-fried R. differens. These findings underscore the significant influence of aroma compounds on consumer acceptability and preference for insect-based baked food products, which allows for future process-modification of innate aromas of insect-based meals to produce high-valued pleasant consumer driven market products.