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The extraction of 21 insecticides and 5 metabolites was performed using an optimized and validated QuEChERS protocol that was further used for the quantification (GC–MS/MS) in several seafood matrices (crustaceans, bivalves, and fish-mudskippers). Seven species, acquired from Hong Kong and Macao wet markets (a region so far poorly monitored), were selected based on their commercial importance in the Indo-Pacific region, market abundance, and affordable price. Among them, mussels from Hong Kong, together with mudskippers from Macao, presented the highest insecticide concentrations (median values of 30.33 and 23.90 ng/g WW, respectively). Residual levels of fenobucarb, DDTs, HCHs, and heptachlors were above the established threshold (10 ng/g WW) for human consumption according to the European and Chinese legislations: for example, in fish-mudskippers, DDTs, fenobucarb, and heptachlors (5-, 20- and tenfold, respectively), and in bivalves, HCHs (fourfold) had higher levels than the threshold. Risk assessment revealed potential human health effects (e.g., neurotoxicity), especially through fish and bivalve consumption (non-carcinogenic risk; ΣHQLT > 1), and a potential concern of lifetime cancer risk development through the consumption of fish, bivalves, and crustaceans collected from these markets (carcinogenic risk; ΣTCR > 10–4). Since these results indicate polluted regions, where the seafood is collected/produced, a strict monitoring framework should be implemented in those areas to improve food quality and safety of seafood products.