Diploptera punctata is a viviparous cockroach and secretes a concoction of glycosylated proteins as a basis of nutrition for developing embryos termed as cockroach milk. The milk proteins were identified as the lipocalin-like milk proteins (Lili-Mip) which are present in the brood sac of the gestated female D. punctata. Blotting techniques and RNA transcriptome assays have reported analogous Lili-Mip in the midgut of D. puncta embryos, which proved the ingestion during development inside brood sac. Thermodynamics and kinetic studies augmented the stability of the milk crystals and their controlled release mechanism of sustenance. Gene ontogeny reported the evolution of the ovoviviparous to viviparous due to selective pressures posed during the development stages of the embryos. Molecular simulation modelling studied unveiled the binding efficacies of the milk protein to build strong affiliates to the ligands to form a stable milk protein complex. Ahead of its nutritional benefits, cockroach milk also offers environmental advantages compared to traditional dairy and plant-based milk production. Nevertheless, there are still important hurdles to overcome to include this unconventional superfood as staple in human diets which are also discussed in the review. This review explored the existing molecular, evolutionary and biochemical insights for understanding the phenomena of the production of milk crystals and addressed the research gaps for developing a novel nutrient prospective from insect source.