The expected future demand for food and animal‐derived protein will require environment‐friendly novel food sources with high nutritional value. Insects may be one of such novel food sources. However, there needs to be an assessment of the risks associated with their consumption, including allergic risks. Therefore, we performed a systematic review aiming to analyse current data available regarding the allergic risks of consuming insects. We reviewed all reported cases of food allergy to insects, and studied the possibility of cross‐reactivity and co‐sensitisation between edible insects, crustaceans and house dust mites. We analysed a total of 25 articles – eight assessing the cross‐reactivity/co‐sensitisation between edible insects, crustaceans and house dust mites; three characterizing allergens in edible insects and 14 case reports, describing case series or prevalence studies of food allergy caused by insects. Cross‐reactivity/co‐sensitisation between edible insects and crustaceans seems to be clinically relevant, while it is still unknown if co‐sensitisation between house dust mites and edible insects can lead to a food allergy. Additionally, more information is also needed about the molecular mechanisms underlying food allergy to insects, although current data suggest that an important role is played by arthropod pan‐allergens such as tropomyosin or arginine kinase. A systematic review aiming to analyse current data available regarding the allergic risks of consuming edible insects is performed. It is concluded that consumers allergic to crustaceans should avoid edible insects due to risk of allergic reaction. Additionally, workers at insect farms should be monitored for the development of both inhalant and food allergy caused by those edible insects reared at the farms.