The objective of this review was to carry out a comprehensive investigation of the benefits of incorporating insects as a pet food ingredient and the implications this can have in determining a market demand for insect-based pet foods. Black soldier fly larvae (Hermetia illucens), mealworm larvae (Tenebrio molitor) and adult house crickets (Acheta domesticus) are currently used in pet food. These insects are widely fed to exotic pets, mainly in whole, live or dehydrated formats. They are also incorporated as meal or fat and are offered to cats and dogs as dry or wet food and treats. Scientific studies about the use of insects for dog and cat feed are scarce. Most studies are in dogs. Research shows that insect nutrients, mainly amino acids, have high digestibility, are beneficial to health, do not have any detrimental effect on the gut microbiota and are accepted by dogs. In several countries, insects are approved for use in pet food and commercialization has spread throughout the world. Pet owners are willing to try foods made with insect meal for their pets. In conclusion, the use of insects in pet food is a reality that is taking on more and more prominence.