This work assesses the dietary use of two insect meals of Tenebrio molitor (TM) larvae reared in conventional (TM-10) or MAP-enriched substrates (MAP-TM-10) as fish meal replacements (10%) in the diets of gilthead seabream (Sparus aurata). Fish (n = 4500; 207.19 ± 1.47 g) were divided into three groups with triplicates: control (fed conventional diet), TM-10, and MAP-TM-10 groups. The fish were reared in floating cages for 12 weeks and the dietary effects on white blood cell activation, heat shock proteins, MAPKs, and apoptosis of the fish were evaluated. The MAP-TM-10 group exhibited the highest eosinophilic induction. Phosphorylated levels of p38 MAPK, p44/42 MAPK, HSP70, and HSP90 increased in the TM-10 and MAP-TM-10 groups. In terms of apoptosis, Bax levels were lower in the TM groups compared to the control, and the MAP-TM-10 group showed even lower levels than the TM-10 group. Bcl-2 levels increased in the TM-10 group compared to the control, and further increased in the MAP-TM-10 group. The Bax/Bcl-2 ratio, an apoptosis indicator, decreased in the TM groups, with the MAP-TM-10 group showing a further decrease compared to TM-10. These findings suggest that insects’ breeding substrate being enriched with MAPs modulated the effect of TM on cellular stress and apoptosis.