The larvae of Clanis bilineata tsingtauica, a special species of Chinese edible insect, are of great nutritional, medicinal and economic value to humans. This study aimed to clarify the effect of different soybean varieties (Guandou-3 (G3), Ruidou-1 (R1), September cold (SC)) on the nutritional quality and feeding selection behavior of C. bilineata tsingtauica larvae. The results showed that soybean isoleucine (Ile) and phenylalanine (Phe) were positively correlated with larval host selection (HS) and protein content. The order of soybean plants selected by C. bilineata tsingtauica larvae was R1 > SC > G3, and they selected R1 significantly higher than SC and G3 by 50.55% and 109.01%, respectively. The protein content of the larvae fed on R1 was also the highest among the three cultivars. In addition, a total of 17 volatiles belonging to 5 classes were detected from soybeans: aldehydes, esters, alcohols, ketones, and heterocyclic compounds. Pearson’s analysis showed that soybean methyl salicylate was positively correlated with larval HS and their protein content, and soybean 3-octenol was negatively correlated with larval HS and their palmitic acid content. In conclusion, C. bilineata tsingtauica larvae are more adapted to R1 than to the other two soybean species. This study provides a theoretical basis for the production of more protein-rich C. bilineata tsingtauica in the food industry.