With the growing interest in insect rearing for feed and food use, there has been an increased focus on the health of the insects for both farm business aspects and the safety of end consumers. Recent research has highlighted how the insect immune system can be modulated by the diet. We studied the survival of yellow mealworm beetle larvae infected with an entomopathogenic fungus and the gene expression of a specific antimicrobial peptide with antifungal action in insects fed two different diets. In our trials, the partial substitution of a wheat bran-based diet by brewers’ spent grain, characterized by a high protein value, did not increase the survival rate of infected larvae but increased the expression of the antifungal peptide, depending on the timing of administration. The possibility of modulating farmed insect health through the diet, using agri-food byproducts, opens interesting new perspectives within a circular economy scenario. Large-scale insect rearing can be subjected to microbial infections, leading to serious economic losses. When possible, the use of antibiotics is to be avoided for insects intended as feed or food and new strategies to preserve the health of the farmed insects are required. The effectiveness of insect immune system depends on several factors, including the nutritional composition of the diet. The possibility to modulate immune responses through the diet is currently a topic of great interest from an application point of view. We evaluated the effect of two different diets on the survival rate and gene expression of the antimicrobial peptide Tenecin 3 in uninfected and Beauveria bassiana-infected Tenebrio molitor L. larvae. A wheat bran diet, mixed 50% with brewers’ spent grains, could positively influence the expression of Tenecin 3 gene when uninfected T. molitor is allowed to develop on such a substrate from early larval stages. Even if, in our trial, the diet with added brewers’ spent grains could not reduce the mortality of the larvae infected with B. bassiana, higher transcriptional levels of the antifungal peptide were observed in insects fed this diet, depending on the timing of diet administration.