Edible insects are considered a promising alternative source of protein for human consumption, as they have high nutritional value and low environmental impact. However, the safety of insect consumption, especially in terms of allergenicity, is still a matter of concern. This review aims to summarize the current knowledge on the allergens from edible insects, their cross-reactivity with other sources of allergens, and the effects of processing and digestion on their allergenic potential. The main allergens identified so far in edible insects are tropomyosin and arginine kinase, which are also present in crustaceans, mites, and other arthropods. These allergens can cause allergic reactions in individuals sensitized to shellfish or house dust mites, as well as in insect-allergic patients. Other potential allergens, such as actin, myosin, sarcoplasmic calcium-binding protein, and vitellogenin, have been reported in some insect species. The allergenicity of insect proteins may vary depending on the insect species, the route of exposure (ingestion or inhalation), the processing methods (e.g., heating, drying, grinding), and the digestive conditions. Some studies have shown that thermal processing and enzymatic hydrolysis can reduce or abolish the IgE-binding capacity of insect proteins, while others have reported an increase or no effect. More research is needed to identify the major and minor allergens from different edible insects, to evaluate their prevalence and clinical relevance in different populations, to assess the impact of processing and digestion on their allergenicity, and to develop reliable diagnostic and therapeutic tools for insect allergy.