RNA interference (RNAi) is becoming a practical tool to control insect pests. Many mysteries of how double-stranded RNA (dsRNA) is transported into, within, and between cells to generate an efficient RNAi response in insects are still to be unraveled. This review provides an overview of the evidence that supports a key role of endocytosis in the uptake of dsRNA on both cellular and tissue levels. Additionally, other components of cellular membrane transport and their impact on the efficiency of RNAi in insects are explored. It is now evident that the membrane transport and potentially dsRNA release from the endosome may comprise some of the limiting factors in insects that are recalcitrant to dsRNA. This review concludes with the apparent connection between gene products that are necessary for cellular trafficking of dsRNA and highly lethal RNAi targets.