The use of insects is considered by Food and Agriculture Organization (FAO) as an alternative source of protein for human and animal food in order to reduce the carbon footprint caused by meat production and to supply the expected population increase with food. In this regard, the aim of this study was to analyze the physicochemical aspects (water activity, protein and fat content, size, optical and mechanical properties) of biscuits prepared with two different insect powders (Tenebrio molitor [TM] and Alphitobius diaperinus [AD], in different percentages [0, 13, 17, 20, and 25%]) based on total weight. In addition, the biscuits formulated with the highest insect powder content were subjected to sensory analysis. The results revealed that all the biscuits formulated with insect powders may be labeled as “high in protein” products following Regulation (EC) No. 1924/2006, although they were not as thick as the control biscuits. The L* and b* coordinates were significantly lower when the insect powders were included, which implied a darkening of the biscuits, which were also harder than the control biscuits, regardless the concentration used. According to the sensory analysis, most panelists perceived the biscuits containing insects as too dark and not crunchy enough and an increase in sweetness might improve their acceptability. Finally, further studies should be carried out to analyze the influence of different structural components and flavorings, such as chocolate, in the formulation of biscuits with insect powders to improve their sensory attributes.