In the present study, gilthead sea breams (Sparus aurata) were reared using sustainable feeds containing insect meal from Hermetia illucens larvae. Proteomics and proton nuclear magnetic resonance-based metabolomics analysis were used to assess the metabolic impact of tested diets in sea bream liver, whereas the composition of muscle fillet was characterized by means of metabolomics and gas chromatography of fatty acids methyl esters. Including 10% of insect meal while correspondingly reducing fish meal did not substantially alter metabolism of dietary nutrients, leading to small but significant effects solely on lauric acid content of sea bream fillet. Furthermore, few alterations in some markers of immune response, such as leukocyte elastase inhibitor-like, granzyme B (G,H)-like, and two associated ortholog groups namely serpin B, and chymase, were found. In the fish group fed with insect meal, liver morphology analysis showed no structural damage or inflammation and a lower amount of hepatic lipid deposition and accumulation.