The classification of insect pests is a critical task in agricultural technology, vital for ensuring food security and environmental sustainability. However, the complexity of pest identification, due to factors like high camouflage and species diversity, poses significant obstacles. Existing methods struggle with the fine-grained feature extraction needed to distinguish between closely related pest species. Although recent advancements have utilized modified network structures and combined deep learning approaches to improve accuracy, challenges persist due to the similarity between pests and their surroundings. To address this problem, we introduce InsectMamba, a novel approach that integrates State Space Models (SSMs), Convolutional Neural Networks (CNNs), Multi-Head Self-Attention mechanism (MSA), and Multilayer Perceptrons (MLPs) within Mix-SSM blocks. This integration facilitates the extraction of comprehensive visual features by leveraging the strengths of each encoding strategy. A selective module is also proposed to adaptively aggregate these features, enhancing the model's ability to discern pest characteristics. InsectMamba was evaluated against strong competitors across five insect pest classification datasets. The results demonstrate its superior performance and verify the significance of each model component by an ablation study.