Black soldier fly larvae, Hermetia illucens (L.), are used to convert organic waste streams into insect-based animal feeds. We tested their ability to retain alpha-linolenic acid (ALA), eicosapentaenoic acid (EPA), and docosahexaenoic acid (DHA) from feeding substrates, which has important implications for their use in aquaculture. When supplementing a chicken feed diet with increasing concentrations of salmon oil (0–42%) over an increasing number of days (0–8), the concentrations of the three omega-3 acids in larvae increased significantly. Larval survival and biomass accumulation were not affected. Supplementing a chicken feed diet with increasing concentrations (0–14%) of Tetraselmis chui Butcher (Chlorodendrales: Chlorodendraceae) microalgae paste also significantly increased ALA and EPA contents of the harvested larvae. However, microalgae also decreased survival, harvested biomass, and individual growth of larvae feeding on the diet with the highest supplement concentration (14%). DHA was not detected in any microalgae diet or subsequent larval tissue samples. All three omega-3 polyunsaturated fatty acids tested in this study were accumulated in dose-dependent manner, with quadratic, and occasionally linear, equations providing the best description of the observed relationships. There were significant negative correlations between several fatty acids, indicating that they may replace one another in living larvae. Our findings confirm that black soldier fly larvae can retain ingested fatty acids and change fatty acid profiles in their tissues accordingly. However, optimizing nutrient content of harvestable larvae is likely to be more complicated than simply enriching their diets with omega-3 fatty acids.