The effect of pesticides on insects is often discussed in terms of acute and chronic toxicity, but an important and often overlooked aspect is the impact of sublethal doses on insect physiology and behavior. Pesticides can influence various physiological parameters of insects, including the innate immune system, development, and reproduction, through a combination of direct effects on specific exposed tissues and the modification of behaviors that contribute to health and reproductive success. Such behaviors include mobility, feeding, oviposition, navigation, and the ability to detect pheromones. Pesticides also have a profound effect on insect learning and memory. The precise effects depend on many different factors, including the insect species, age, sex, caste, physiological condition, as well as the type and concentration of the active ingredients and the exposure route. More studies are needed to assess the effects of different active ingredients (and combinations thereof) on a wider range of species to understand how sublethal doses of pesticides can contribute to insect decline. This review reflects our current knowledge about sublethal effects of pesticides on insects and advancements in the development of innovative methods to detect them.