With the rapid development of high-throughput sequencing technology and bioinformatics algorithms, great progress has been made in the field of non-coding RNA (ncRNA) in the last decade. RNA molecules have been regarded only as a messenger between DNA and protein for decades, but now they have new roles in the biological process as ncRNAs. A growing number of ncRNAs have been identified in insects from the RNA-Seq data of small RNA libraries or transcriptomes. ncRNAs have varied regulatory functions at the epigenetic, transcriptional, or post-transcriptional levels, and participate in almost all types of biological processes. Here, we review the research progress of four kinds of ncRNAs, including microRNA (miRNA), Piwi-interacting RNA (piRNA), circular RNA (circRNA), and long noncoding RNA (lncRNA) in insects. The discovery, biogenesis mechanisms, and regulatory functions of these ncRNAs are presented here to provide a comprehensive understanding of insect ncRNAs and to promote the application of ncRNAs in insect pest control.