Mr Key joined the Man vs Wild host and comedian Rhys Darby onstage at Vector Arena, where Grylls was delivering a two-hour stage showabout his adventures across the world.
"You've got to crunch it,'' Grylls said before all three ate the live bugs, to cheers and applause from the crowd.
Mr Key also grabbed and ate a grub, before taking a sip of water.
Grylls is in New Zealand for two stage shows in which he recalls his experiences of survival in some of the world's toughest environments.
Last night's show - which featured on-stage action, fire and of course, bug-eating - was the second of Grylls' two appearances, following a show at Wellington's TSB Arena.
