In grassland ecosystems, grazing by large herbivores is an important management tool, and plays a central role in driving biodiversity. Insects are important components of biodiversity in grasslands, and strongly affect food-web structure, as well as ecosystem functioning and stability. Many studies have shown that there are close relationships between large herbivores and insects. The effects of large herbivores on grasshopper species richness and abundance in grazed grassland ecosystems are inconsistent (positive effects, negative effects, and neutral effects), and the effect strongly depend on grazing management, insect guild, and grassland type. Grazing affects insect diversity both directly (foraging, trampling, and feces and urine) and indirectly (altered vegetation structure and plant community composition). Although a growing number of studies have shown that large herbivores can strongly affect insect diversity and abundance, greater additional efforts regarding the research on the systematisms, depth, and continuity of the response of insect diversity to grazing are still needed. This paper reviews the known effects of large herbivore grazing on insect diversity, and identifies a number of issues that remain poorly understood and require further research. The results of these studies could improve our understanding of changes in insect diversity, and provide theoretical support for the planning of management strategies aimed to conserve of insect diversity in grazed grassland ecosystems.