This study investigated the effects of different saccharides (inulin and fructooligosaccharides (FOS)), pH (8–10) and thermal treatment time (6–24 h) at 70 °C on the structural, functional properties and antioxidant activities of conjugated cricket protein (CCPs) by wet heating Maillard reaction (MR). Results suggested that the browning intensity, color development and degree of glycation were significantly increased (p < 0.05) under increasing thermal treatment with FOS. SDS-PAGE and FTIR confirmed the formation of a higher molecular weight of CCPs. Water solubility, oil holding capacity, emulsifying properties, and antioxidant properties of CCPs were all superior to the unconjugated products. However, the over-conditioning (treatment time > 6 h, pH > 9) in MR could contribute to a significant decrease (p < 0.05) of CCPs functional properties. The results suggested that the conjugation of cricket protein isolate (CPI) with MR is the most promising way to improve cricket protein properties for food industry applications.