In this study, the effect of freeze-drying, oven- and microwave-drying on the volatile profiles and sensory properties of edible locust and silkworm was studied. Fifty-five headspace volatiles were detected, including alkanes, alcohols, aldehydes, esters, and ketones, with variations in intensity depending on the insect species and drying method. Volatiles from microwave-dried locusts and silkworms were typical for the Maillard reaction, that is in accordance with the significant increase of fluorescence of advanced Maillard products (2.9 and 5.5 times higher than in raw silkworms and locusts, respectively). Comparison of fatty acid composition and Fourier transform infrared spectra revealed signs of oxidation process at different levels depending on the insect. Changes in aroma and its intensity caused by different drying methods were also detected by sensory panellists who rated the samples of oven-dried locusts (2.4) and microwave-dried silkworms (1.9) with the lowest scores. An addition 15% of dried insects to cookies decreased the diversity of the volatiles, changed their intensity and lessened the dissimilarities between cookies with differently dried insect powders. Sensory panellists determined the presence of additional ingredients by higher odour intensity and general changes in overall liking scores of the insect-based cookies. Thus, drying can modify odour and sensory characteristics of locusts and silkworms and, consequently, cookies with these insect species, that should be considered in the processing of insects and formulation of novel insect-based foods.