Interactions between insects and fungi are widespread, and important mediators of these interactions are fungal chemicals that can therefore be considered as allelochemicals. Numerous studies suggest that fungal chemicals can affect insects in many different ways. Here, we apply the terminology established by insect-plant ecologists for categorizing the effect of fungal allelochemicals on insects and for evaluating the application potential of these chemicals in insect pest management. Our literature survey shows that fungal volatile and non-volatile chemicals have an enormous potential to influence insect behavior and fitness. Many of them still remain to be discovered, but some recent examples of repellents and toxins could open up new ways for developing safe insect control strategies. However, we also identified shortcomings in our understanding of the chemical ecology of insect-fungus interactions and the way they have been investigated. In particular, the mode-of-action of fungal allelochemicals has often not been appropriately designated or examined, and the way in which induction by insects affects fungal chemical diversity is poorly understood. This review should raise awareness that in-depth ecological studies of insect-fungus interactions can reveal novel allelochemicals of particular benefit for the development of innovative insect pest management strategies.