Insect-based biorefinery is seen as a potential alternative approach to manufacturing foods, feeds, and fuel because of the increasing demand for renewable and sustainable products. Insect oil and protein are the two major components that can be quantitatively obtained from insect farming. However, very few attempts have been conducted to utilize insect oil for the production of value-added products. In this study, the oil extracted from the black soldier fly (Hermetia illucens) larvae (BSFL) was used as a novel feedstock for preparing nano-emulsions. The nano-emulsions were prepared with BSFL oil, hydrogenated lecithin (HL), and d-alpha-tocopheryl polyethylene glycol 1000 succinate (TPGS) in water using pre-homogenization followed by ultrasonication. The morphology and the particle size of nano-emulsions were affected by ratios of HL to TPGS. Moreover, the nano-emulsions showed a nearly Newtonian liquid behavior and the presence of TPGS was able to improve the storage stability of HL nano-emulsions. The addition of TPGS could eliminate the phase transition region of HL nano-emulsions but did not provide a significant change for the molecular mobility in the HL nano-emulsions. In summary, the BSFL oil could be used as a renewable feedstock for formulating nano-emulsions from the aspect of high value-added applications and physicochemical characteristics of the nano-emulsions could be adjusted by the mixed surfactant ratio, surfactant to oil ratio, and oil content. The physicochemical characteristics and optimization of nano-emulsions based on black soldier fly larvae oil were investigated.