A 7‐week study was performed to evaluate the partial and total replacement of formulated feed (FF) by live insects (Trichocorixa sp.), during intensive culture of Litopenaeus vannamei. Production response, physiological status and postharvest quality were evaluated. Five treatments consisting of 0%, 25%, 50%, 75% and 100% of FF replacement (T‐0, T‐25, T‐50, T‐75 and T‐100) were performed. Better production responses were observed in T‐50, followed by T‐0 and T‐75 respectively. Also, no negative effect of insect supplying was detected on the physiological status of shrimp (evaluated by haemolymph parameters). However, shrimp fed exclusively on insects (T‐100) had poor growth and physiological performances, and lower postharvest quality compared with the rest of treatments. Regarding organoleptic characteristics, no effect of treatments was detected on the colour, odour and taste of shrimp muscle. In conclusion, the insect Trichocorixa sp. can contribute to the nutritional requirements of shrimp and could be used as complementary natural food, improving productive responses, without affecting the physiological status or the post mortem quality of shrimp; however the total substitution of FF by insects is not recommendable.