The increasing global demand for sustainable, high-quality protein sources has grown interest in edible insects, particularly in Acheta domesticus (house cricket), recently authorized as a novel food in the European Union (EU 2022/188). However, the main challenge of cricket farming is identifying a sustainable, nutritious, and cheaper feed than the current diets (e.g., poultry feed) (Tanga et al., 2021). This study investigated a circular economy approach by valorizing i) cricket frass—a nutrient-rich by-product of insect farming—as a cultivation medium for microalgae (Chlorella vulgaris, Phaeodactylum tricornutum, and Nannochloropsis salina), which could make microalgae production more environmentally friendly and cost-effective, and ii) using microalgae grown on frass-based media as diet supplementation to optimize the nutritional value of insects, particularly in terms of fatty acid (FA) composition. The microalgae C. vulgaris showed the best adaptation to a medium composed solely of water and frass and was selected to implement the crickets' diet, adding its biomass to the drinking water. Crickets were divided into three experimental groups: (i) control (no supplementation), (ii) supplementation with C. vulgaris extract grown in standard media, and (iii) supplementation with C. vulgaris extract grown in frass-based media. The FA composition of microalgae species and insects was carried out using Gas Chromatography–Mass Spectrometry (GC-MS). Our results showed that the inclusion of C. vulgaris in drinking water did not affect the performance parameters of crickets, in terms of individual weight, yield, and feed conversion ratio. Significant variations in FA composition were evidenced: i) in microalgae grown on frass-based media compared to microalgae grown on standard media; ii) in AD reared on C. vulgaris cultivated on frass compared to AD reared on standard diet. The fatty acid profile was enriched with essential fatty acids such as linoleic and alpha-linolenic acids, and nutritional quality indices confirmed that the house cricket presented healthy values.