The Insect Kingdom is a Kingdom mentioned by Agitha who claims to be its princess and ruler. It is implied the Golden Bugs that Link collects for Agitha are members of the Kingdom that according to Agitha, had gotten lost on the way to a party held at Agitha's Castle. It is unclear if the Insect Kingdom is real or a figment of Agitha's overactive imagination.
The Insect Kingdom is mentioned by Agitha, in her Historical Entry, and the description of her Parasol moveset. However unlike in Twilight Princess, Agitha's ability to summon Golden Bugs to fight for her seems to support her claims.