The human consumption of insects (entomophagy) as an alternative and nutritious animal protein is increasing among consumers in Western countries. In order to assess the microbiological and chemical safety of edible insects, in the last decades, several national food safety agencies in the European Union (EU) have attempted to perform risk assessments. More insight was recently provided by the European Food Safety Authority (EFSA) in the published scientific opinion related to production and consumption of insects as food as well as feed, with a focus on human and environmental risks. The aim of this paper is to review the main aspects that revolve around insects as food and feed, such as the production, processing, consumption, current EU legal framework, environmental and nutritional aspects, the risk of biological and chemical hazards associated to insects and to the substrates used in farming, as well as potential for allergies. In addition, the paper identifies main challenges and opportunities on the use of insects feedstuff and foodstuff and provides recommendations for the different stakeholders. In particular, the recommendations highlight the need to conduct more research as regards the feed risk assessment, to develop and validate food safety technological innovation at industrial level, to include insects in the international food safety regulatory framework, and to promote consumers awareness campaigns.