The gene co-expression network (GCN) analyses the correlation between the expression of genes to reveal gene interactions. It has been widely used in gene function analysis, regulatory network mechanism research, and many other fields. This paper summarizes the current research status of GCN and introduces the methods of constructing a GCN. Furthermore, we review GCN research advancements in insect development, adaptation to environmental or biological stress, the interaction between insects and host plants or symbiotic bacteria, species evolution, pesticide resistance, and insect transmission. Finally, we discuss the potential of using GCN to enhance and broaden the scope of entomological research.