Insect fractionation and insect ingredient characterisation is of relevance in view of the increase in insect production and demand of insect ingredients worldwide. This study aims to contribute to the knowledge of insect oils that were extracted from insects commercially reared in Europe. Oil was extracted from yellow mealworm, lesser mealworm, house cricket and Dubia cockroach by an aqueous based oil extraction method. These insect oils were physicochemically characterised on the most important parameters for food applications, namely thermal behaviour (differential scanning calorimeter), colour (spectrophotometry) and aroma compounds (gas chromatography-mass spectrometry). The amount and the composition of the un-extracted lipid fraction was determined by means of fatty acid (FA) profiling (gas chromatography with flame ionisation detector). Although no distinctive pattern was seen in all four species, it becomes clear from its FA profile that the extracted fat is more similar to the residue and cream fractions than to the pellet and supernatant. The amount of lipids that was not extracted was species dependent ranging from 40 to up to 82% of the total lipid content. Further work is needed to reduce the oil loss in this extraction. The extracted insect oil presented a wide range of melting peaks, from -30.7 to 22.7 °C, which makes them liquid-like at room temperature. Its thermal profile shows separated peaks showing that fat fractionation is feasible. Oil colour was bright yellow-reddish. Most oils had compounds related to pleasant aromas, except for Dubia cockroach. In the latter oil several acid compounds related to unpleasant aromas were identified. This study shows that yellow meal worm oil, lesser mealworm oil and cricket oil have characteristics desirable for table oils and for oils use as food ingredients.