In western cultures, the consumption of foods based on animal sources is high and thus not sustainable. It is highly important to find alternative protein sources having a comparable nutritional content to traditional products of animal origin and, at the same time, a lower impact on the environment. Nutritional aspects and energy are important for physically active persons and insects as a replacement of traditional protein sources may be a possibility. The aim of this study was to investigate the attitudes of physically active consumers towards insects as food and whether these attitudes were affected by information about nutrition and sustainability. Half of the 123 recruited physically active adult consumers received information about the nutritional content and sustainability of insects as food, while the other half did not. All 123 consumers answered the same questionnaire which consisted of three parts: Demography, Sustainability and Health, and Attitudes towards insects as food. In both groups, approximately 35–40% of the consumers would consider eating insects. The attitudes were slightly below neutral; however, it seems that attitudes would be more positive if the consumers could be convinced that insects as food are good for health and environment, as well as tasty. A comparison between the two consumer groups showed no significant difference concerning attitudes towards insects as food. However, the group who received information was significantly more concerned about an adequate intake of nutrients. This shows the complexity of food attitudes, where many factors must be taken into account.