With entomophagy gaining popularity in the Western hemisphere as a solution for future food insecurity, research on alternative protein sources, such as edible insects, has become relevant. Most of the research performed on insects has been on their nutritional qualities; however, little is known regarding bioactive compounds, such as polyphenols, that, if present in the insect, could provide additional benefits when the insect is consumed. In this study, methanolic extracts of Acheta domesticus from two farms and their corresponding feeds were obtained using a microwave-assisted extraction. Targeted phenolic characterization was accomplished through LC-MS/MS leading to the identification of 4-hydroxybenzoic acid, p-coumaric acid, ferulic acid, and syringic acid as major phenolic compounds in both A. domesticus extracts. Furthermore, the in vitro antioxidant activity was evaluated using 2,2-diphenyl-1-picrylhydrazyl radical cation (DPPH) and 2,2′-azino-bis (3-ethylbenzothiazoline-6-sulphonic acid) (ABTS) radical assays demonstrating the superior quenching activity of the A. domesticus extracts compared to the feeds. The discovery of phenolic compounds in A. domesticus implies the ability of this insect species to sequester and absorb dietary phenolics leading to possible added health benefits when consumed.