The use of traditional chemical insecticides for pest control often leads to environmental pollution and a decrease in biodiversity. Recently, insect sex pheromones were applied for sustainable biocontrol of pests in fields, due to their limited adverse impacts on biodiversity and food safety compared to that of other conventional insecticides. However, the structures of insect pheromones are complex, and their chemical synthesis is not commercially feasible. As yeasts have been widely used for fatty acid-derived pheromone production in the past few years, using engineered yeasts may be promising and sustainable for the low-cost production of fatty acid-derived pheromones. The primary fatty acids produced by Saccharomyces cerevisiae and other yeasts are C16 and C18, and it is also possible to rewire/reprogram the metabolic flux for other fatty acids or fatty acid derivatives. This review summarizes the fatty acid biosynthetic pathway in S. cerevisiae and recent progress in yeast engineering in terms of metabolic engineering and synthetic biology strategies to produce insect pheromones. In the future, insect pheromones produced by yeasts might provide an eco-friendly pest control method in agricultural fields.