Insects are a pathway through which agro-food waste can become a high-quality source of nutrients for both livestock and humans. Yellow mealworm (Tenebrio molitor L., Coleoptera: Tenebrionidae) larvae are currently one of the insect species permitted for consumption, and they are reared on a large scale in Europe. This study evaluated the effect of seven diets containing byproducts such as wheat, rye bran, rapeseed meal, rapeseed cake, flax, and milk thistle cakes on the insect’s growth performance, feed conversion ratio (FCR), efficiency of conversion of ingested feed (ECI), nutritional quality of the larvae, and the composition of fats and fatty acids they contained. The lowest FCR based on the fresh and dry basis was 3.32 and 2.01, respectively. The ECI values were statistically different for larvae reared on different experimental diets (mean value 45.7%). As for the nutritional profile, protein and fats ranged from 43.6 to 53.4% d.m. and from 22.3 to 30.0% d.m., respectively. The major fatty acids in all samples were oleic acid (32.97–46.74% of total fatty acids (TFA)), linoleic acid (22.79–38.98% of TFA), and palmitic acid (12.80–17.81% of TFA). This study offers a new opportunity to use and efficiently convert cheap industrial byproducts using yellow mealworms.