Fazer Bakery in Finland said the product, available in its stores from Friday, was the first of its kind.
Each loaf produced will contain about 70 crickets that have been dried and ground, and then mixed with flour, wheat and other seeds.
In 2013, the United Nations estimated that at least 2 billion people eat insects worldwide.
According to the UN, more than 1,900 species of insect are used for food.
The UN's Food and Agriculture Organisation (FAO) began a programme in 2013 to encourage the breeding and consumption of insects.