Insects have an amazing variety of colors and patterns. It should be noted that pigments and/or genes involved in body color formation are markedly different between insects and vertebrates. Insect pigments have been traditionally classified into the following eight classes: melanins, ommochromes, pteridines, tetrapyrroles, carotenoids, flavonoids, papiliochromes, and quinones. Among them, melanins, ommochromes, and pteridines are three major pigments that are distributed in most insects. Insect melanins are secreted into cuticles, and dark-colored melanins are predominantly derived from dopamine, whereas light-colored melanins are mostly derived from N-β-alanyldopamine (NBAD) and/or N-acetyldopamine (NADA). Ommochromes are tryptophan-derived pigments restricted to invertebrates and are ubiquitous in the compound eyes of insects. Ommochromes and pteridines are accumulated within pigment granules ommochromasomes and pterinosomes, respectively. In recent years, much has been revealed at the molecular level about pigment synthesis and pattern formation in insects. In this review, we introduce the relationship between the pigments and insect color pattern, and summarize the genes involved in the pigment synthesis, transport, and patterning. Meanwhile, there are still many insects whose pigments have not been identified, and the future progress is expected in this field.