The present study aimed to compare the effects of different pre-drying treatments (e.g., freeze drying, microwave drying, and oven drying) on the physicochemical properties, fatty acid composition, and volatile compounds of oil extracted from dried Tenebrio molitor larvae. The results showed that oil from freeze-dried T. molitor larvae (O-FTML) was characterized by a high degree of oxidation, with significantly high acid and peroxide values (P < 0.05), and the highest content of saturated fatty acids (P < 0.05). However, oil from microwave-dried T. molitor larvae (O-MTML) and oven-dried T. molitor larvae (O-OTML) with higher iodine values showed lower oxidation (P < 0.05), possessed lower viscosity, and higher thermal stability (P < 0.05). In addition, the O-OTML group increased the proportion of unsaturated fatty acids and stimulated baking aroma, similar to that of vegetable oils. In conclusion, oven-drying may be the optimal drying treatment for oil extracted from T. molitor larvae.