As an important pathogenic microorganism, microsporidia are widely found in Lepidopteran insects. Microsporidia diseases not only affect the natural balance of wild insect populations, but also are detrimental to the economic and resource insects such as Bombyx mori and Antheraea pernyi. The molecular biology of microsporidia is relatively less studied and the microsporidian spore wall is fairly rigid. These disadvantages make the study of microsporidia more difficult. With the rapid development of the sequencing technique and the preparation method of nucleinic acid, protein and other biomacromolecules, various microsporidia researches based on Omicsare now reported, which have significantly contributed to this field. Our review focouses on interactions between microsporidian parasites and their Lepidopteran hosts, and recent progress in microsporidia genome, transcriptome and proteome studies. The further research of insect microsporidia will provide new insights on the biocontrol of lepidopteran pests and improve the diagnosis, prevention and treatment of the microsporidia diseases of economic insects as well.