Consumption of edible insects has been widely suggested as an environmentally sustainable substitute for meat to reduce greenhouse gas emissions. However, the novel research field for edible insects relies on the content of bioactive ingredients and on the ability to induce a functional effect in humans. The goal of this manuscript is to review the available body of evidence on the properties of edible insects in modulating oxidative and inflammatory stress, platelet aggregation, lipid and glucose metabolism and weight control. A search for literature investigating the functional role of edible insects was carried out in the PubMed database using specific keywords. A total of 55 studies, meeting inclusion criteria after screening, were divided on the basis of the experimental approach: in vitro studies, cellular models/ex vivo studies or in vivo studies. In the majority of the studies, insects demonstrated the ability to reduce oxidative stress, modulate antioxidant status, restore the impaired activity of antioxidant enzymes and reduce markers of oxidative damage. Edible insects displayed anti-inflammatory activity reducing cytokines and modulating specific transcription factors. Results from animal studies suggest that edible insects can modulate lipid and glucose metabolism. The limited number of studies focused on the assessment of anti-coagulation activity of edible insects makes it difficult to draw conclusions. More evidence from dietary intervention studies in humans is needed to support the promising evidence from in vitro and animal models about the functional role of edible insect consumption.