Achieving food security in an environmentally sustainable manner is one of the biggest challenges of our time. Using insects as food can serve this purpose because they are nutritionally valuable and environmentally friendly. Embracing insects as food requires information on potential consumer demand as this would determine the success of product development. In this study, we present one of the first thorough assessments of consumer demand for an insect-based food. We assessed the demand in terms of Kenyan consumer preferences and willingness to pay for buns containing varying amounts of cricket flour. We also assessed demand by predicting the market share in a presumed market scenario. The study used an incentivized discrete choice experiment integrated with sensory evaluations. This was intended to reduce any hypothetical bias and to allow participants to acquire experience by tasting the buns. We found significant and positive preferences for the cricket-flour-based buns. The bun products with medium amounts (5%) of cricket flour were preferred to no or high amounts (10%) of cricket flour. Market share predictions showed that cricket-flour-based buns were likely to obtain greater market shares than standard buns. Results also suggested that a market for breads made with cricket flour is likely in Kenya since the demand is present. This signals that insect-based food products may serve as a viable and demand-driven way to increase food security in Kenya in the future.