The pine processionary moth (PPM) is a dangerous parasitic insect pest of several pine species in Central Asia, Southern Europe and North Africa. Thaumetopoea pityocampa and T. wilkinsoni cause defoliation and promote pine decline, enabling attacks from other opportunistic pests. The PPM nests in pine branches in the winter and exits in early spring, forming long nose-to-tail column trails (processions) to search for pupating sites. Larvae produce and release urticating hairs that cause strong allergic reactions to warm blooded animals, making them dangerous to human and animal contact. In recent years, their habitat has expanded due to alterations in climate conditions, which has caused considerable concern in several countries’ national health authorities. Although pest management practices have been implemented, such as the eradication of nests and application of chemical insecticides, PPM continues to spread. Additionally, commercial insecticides can damage affected pines and/or beneficial insect species, induce PPM resistance and be harmful to human health. Essential oils (EOs) have been screened as agents of environmentally safer pest management practices. The present review analyses the existing body of work on the biological activity against the PPM and highlights the most successful EOs. A total of nine publications were identified reporting on the biological activity of 38 EOs extracted from 31 plant species, against the PPM. The EOs extracted from Achillea arabica, Citrus aurantium, Lavandula angustifolia, Origanum onites and Thymus vulgaris were reported to display the lowest half maximal lethal concentrations (LC₅₀). Complete mortalities were obtained for EOs extracted from A. gypsicola, O. acutidens, O. onites, O. rotundifolium, Satureja hortensis, S. spicigera and Tanacetum polycephalum. The EOs extracted from Laurus nobilis, Pinus brutia and T. vulgaris reached complete PPM mortality in the shortest amount of time, at low concentrations. The use of EOs is a potentially eco-friendly alternative for successful PPM pest management, however more extensive studies must be performed to pinpoint highly active and easily accessible EOs.