Many edible insect species are attracting the attention of the food industry and consumers in Western societies due to their high content and quality of protein, and consequently, the potential to be used as a more environmentally friendly dietary source could be beneficial for humans. On the other hand, prevention of inflammatory diseases using nutritional interventions is currently being proposed as a sustainable and cost-effective strategy to improve people's health. In this regard, finding bioactive compounds such as peptides with anti-inflammatory properties from sustainable sources (e.g., edible insects) is one area of particular interest, which might have a relevant role in immunonutrition. This review aims to summarize the recent literature on the discovery of immunomodulatory peptides through in vitro studies from edible insects, as well as to describe cell-based assays aiming to prove their bioactivity. On top of that, in vivo studies (i.e., animal and human), although scarce, have been mentioned in relation to the topic. In addition, the challenges and future perspectives related to edible-insect peptides and their role in immunonutrition are discussed. The amount of literature aiming to demonstrate the potential immunomodulatory activity of edible-insect peptides is scarce but promising. Different approaches have been employed, especially cell assays and animal studies employing insect meal as supplementation in the diet. Insects such as Tenebrio molitor or Gryllodes sigillatus are some of the most studied and have demonstrated to contain bioactive peptides. Further investigations, mostly with humans, are needed in order to clearly state that peptides from edible insects may contribute to the modulation of the immune system.