Insects have been considered alternative foods, mainly as sources of protein. The inclusion of insects in the human diet can help meet the growing demand for food, whether consumed directly or as ingredients in other formulations. In recent years, there has been great interest in using insect proteins as a substrate to obtain bioactive peptides. This review provides an overview of obtaining bioactive peptides, addressing the advantages of using insects as a protein substrate, as well as the challenges associated with their use. Techniques for simulating gastrointestinal digestion, microbial fermentation and application of commercial enzymes were described as suitable methods for obtaining peptides. The principles of antioxidant, antidiabetic and antihypertensive properties have been elucidated. Considering an alternative use of peptides as ingredients in other food formulations, possible changes in their bioactivities were reported. This could result from the interaction of peptides with phenolic compounds and their involvement in the Maillard reaction. Finally, allergenic and regulatory aspects were discussed as the main challenges in using insects as a hydrolysis substrate.