Rearing insects on agro-industrial by-products is a sustainable strategy for the circular economy while producing valuable products for feed and foods. In this context, this study investigated the impact of larvae diet containing agro-industrial by-products on the contents of fatty acids and sterols of Ephestia kuehniella (Zeller) (Lepidoptera: Pyralidae), Tenebrio molitor (L.) (Coleoptera: Tenebrionidae), and Hermetia illucens (L.) (Diptera: Stratiomyidae). For each insect, selected diets were formulated using single or combined agro-industrial by-products (i.e., apricot, brewer’s spent grain and yeast, and feed mill) and compared to a control diet. Fatty acid profiles showed differences depending on diet composition, but mostly depended on species: H. illucens was characterized by the abundance of C12:0, C16:0 and C18:2, whereas C:16, C18:1(n-9c), and C18:2(n-6c) were predominant in T. molitor and E. kuehniella. Sterols significantly varied as a function of diet composition and species. H. illucens showed low cholesterol levels and high campesterol and β sitosterol levels (0.031, 0.554 and 1.035 mg/g, respectively), whereas T. molitor and E. kuehniella had high cholesterol and low campesterol contents (1.037 and 0.078 g/kg, respectively, for T. molitor; 0.873 and 0.132 g/kg, respectively, for E. kuehniella).