Edible insects have the potential to become one of the major future foods. In fact, they can be considered cheap, highly nutritious, and healthy food sources. International agencies, such as the Food and Agriculture Organization (FAO), have focused their attention on the consumption of edible insects, in particular, regarding their nutritional value and possible biological, toxicological, and allergenic risks, wishing the development of analytical methods to verify the authenticity, quality, and safety of insect-based products. Edible insects are rich in proteins, fats, fiber, vitamins, and minerals but also seem to contain large amounts of polyphenols able to have a key role in specific bioactivities. Therefore, this review is an overview of the potential of edible insects as a source of bioactive compounds, such as polyphenols, that can be a function of diet but also related to insect chemical defense. Currently, insect phenolic compounds have mostly been assayed for their antioxidant bioactivity; however, they also exert other activities, such as anti-inflammatory and anticancer activity, antityrosinase, antigenotoxic, and pancreatic lipase inhibitory activities.