In recent years, entomophagy has attracted increased attention, as it was recommended as a potential source of food by the Food and Agriculture Organization of the United Nations. In Japan, Oxya yezoensisis one of the most widely eaten insect species, but studies of its functionality as a food are limited. In this study, we reported the optimal characterization of the total phenolic compounds in methanolic extract (OME) and different fractions of OME. Additionally, the antioxidant and antiallergic activities of the OME fractions were evaluated. The results showed that the ethyl acetate-soluble fraction of OME has potential antioxidant activity, whereas the n-hexane-soluble fraction showed the strongest inhibition of β-hexosaminidase, which is one of the key factors in allergic reactions. It was concluded that phenolic compounds might contribute to the antioxidant activity while unsaturated fatty acids contribute to the antiallergy activity.