Projected growth in insect production as alternative feedstuffs will yield novel by-products that are potentially valuable for aquafeed applications. We analyzed the nutrient composition of three by-products occurring from black soldier fly larvae production (exuvia, cocoon, imago) and the bioavailability of key nutrients for Pacific Whiteleg shrimp (Litopenaeus vannamei). Protein accounted for 317 g kg−1 in exuviae, 433 g kg−1 in cocoons, and up to 521 g kg−1 in adult flies (imagines). Considerable amounts of essential amino acids were detected in imago meal, which significantly matched the ideal dietary amino acid composition for penaeid shrimp (r2 = 0.66, p = 0.0076). Exuviae and cocoons contained moderate amounts of lipids (64–140 g kg−1), while imagines comprised 356 g kg−1 total lipid. Saturated fatty acids predominated in all insect materials (47%–83% of total fatty acids). Chitin concentration was highest in cocoons and exuviae (154 and 139 g kg−1) and low in imagines (51 g kg−1). A feeding trial with shrimp, L vannamei, revealed apparent digestibility coefficients of 20%–59% for protein, 24%–54% for energy, 25%–49% for carbon, and 27%–68% for copper. Defatting of imago meal increased the digestibility of protein, energy, and carbon by 77%, 64%, and 61%, respectively. Defatted imago meal can serve as a protein supplement for shrimp diets.