Novel protein sources for animal feed are needed, and the use of insects as feed ingredient is explored. The insect production sector offers opportunities for a circular and sustainable approach to feed production by upgrading waste or side streams into high-quality proteins. However, potential food or feed safety issues should be studied in advance. Mycotoxins, such as aflatoxin B1, are natural contaminants commonly found in agricultural crops and have proven to be detrimental to the agricultural industry, livestock, and human health. This systematic review aims to provide a comprehensive overview of the published evidence on effects of mycotoxin exposure on insect growth and survival, mycotoxin accumulation within the insect body, and metabolization of various mycotoxins by insects. The review includes 54 scientific articles published in the past 55 years, in total covering 32 insect species. The main findings are the following: (1) Insects of the order Coleoptera show lower mortality after exposure to aflatoxin B1 when compared to Lepidoptera and Diptera; (2) effects of mycotoxins on larval growth and survival are less detrimental in later larval stages; (3) accumulation of mycotoxins was low in most insect species; (4) mycotoxins are metabolized within the insect body, the degree of which depends on the particular mycotoxin and insect species; (5) cytochrome P450s are the main family of enzymes involved in biotransformation of mycotoxins in some insect species. Results of this review support an optimistic outlook for the use of mycotoxin-contaminated waste streams as substrate for insect rearing.