This study investigated the effect of heat treatment of edible insects on antioxidant and anti-inflammatory activities of peptides obtained by in vitro gastrointestinal digestion and absorption process thereof. The antioxidant potential of edible insect hydrolysates was determined as free radical-scavenging activity, ion chelating activity, and reducing power, whereas the anti-inflammatory activity was expressed as lipoxygenase and cyclooxygenase-2 inhibitory activity. The highest antiradical activity against DPPH• (2,2-diphenyl-1-picrylhydrazyl radical) was noted for a peptide fraction from baked cricket Gryllodes sigillatus hydrolysate (IC50 value 10.9 µg/mL) and that against ABTS•+ (2,2'-azino-bis(3-ethylbenzothiazoline-6-sulfonic acid) radical) was the highest for raw mealworm Tenebrio molitor hydrolysate (inhibitory concentration (IC50 value) 5.3 µg/mL). The peptides obtained from boiled locust Schistocerca gregaria hydrolysate showed the highest Fe2+ chelation ability (IC50 value 2.57 µg/mL); furthermore, the highest reducing power was observed for raw G. sigillatus hydrolysate (0.771). The peptide fraction from a protein preparation from the locust S. gregaria exhibited the most significant lipoxygenase and cyclooxygenase-2 inhibitory activity (IC50 value 3.13 µg/mL and 5.05 µg/mL, respectively).