As new sources of proteins, edible insects may be excellent additives in a new generation of environmentally friendly food products that are nutritionally valuable, safe, sustainable, and are needed in today’s world. The aim of this study was to determine the effect of the application of cricket flour on extruded wheat-corn-based snack pellets’ basic composition, fatty acids profile, nutritional value, antioxidant activity and selected physicochemical properties. Results showed that the application of cricket flour had a significant impact on the composition and properties of snack pellets based on wheat-corn blends. In newly developed products, the enhanced level of protein and almost triple increase in crude fiber was found as an insect flour supplementation reached 30% level in the recipe. The level of cricket flour and the applied processing conditions (various moisture contents and screw speeds) significantly affect the water absorption and water solubility index and texture and color profile. Results revealed that cricket flour application significantly increased the total polyphenols content in the assessed samples in comparison to plain wheat-corn bases. Antioxidant activity was also noted to be elevated with increasing cricket flour content. These new types of snack pellets with cricket flour addition may be interesting products with high nutritional value and pro-health properties.