The ultrasound-assisted extraction (UAE) of oil from lesser mealworm (Alphitobius diaperinus L.) larvae powders (LMLPs) using ethanol/isopropanol as the superior solvent was optimized. The evaluation of time (9.89–35.11 min), solvent-to-LMLPs (2.39–27.61 v/w), and temperature (16.36–83.64 °C) showed that the highest extraction efficiency (EE, 88.08%) and in vitro antioxidant activity (IVAA) of reducing power (0.651), and DPPH free-radical scavenging capacity (70.79%) were achieved at 22.5 v/w solvent-to-LMLPs and 70 °C for 22.64 min. Optimal ultrasound conditions significantly improved the EE than n-hexane extraction (60.09%) by reducing the electric energy consumption by ~18.5 times from 0.637 to 0.035 kWh/g. The oil diffusivity in ethanol-isopropanol during the UAE (0.97 × 10−9 m2/s) was much better than that of n-hexane (5.07 × 10−11 m2/s). The microstructural images confirmed the high efficiency of ethanol-isopropanol in the presence of ultrasounds to remove oil flakes from the internal and external surfaces of LMLPs. The improved IVAA was significantly associated with the total phenolic (4.306 mg GAE/g, r = 0.991) and carotenoid (0.778 mg/g, r = 0.937) contents (p < 0.01). Although there was no significant difference in the fatty acid profile between the two extracted oils, ethanol-isopropanol under sonication acceptably improved oxidative stability with lower peroxides, conjugated dienes and trienes, and free fatty acids.