Despite the recent progress in the production of inert diets for fish larvae, feeding of most species of interest for aquaculture still relies on live feeds during the early life stages. Independently of their nutritional value, live feeds are easily detected and captured, due to their swimming movements in the water column, and highly digestible, given their lower nutrient concentration (water content>80%). The present paper reviews the main types of live feeds used in aquaculture, their advantages and pitfalls, with a special emphasis on their nutritional value and the extent to which this can be manipulated. The most commonly used live feeds in aquaculture are rotifers (Brachionus sp.) and brine shrimp (Artemia sp.), due to the existence of standardized cost-effective protocols for their mass production. However, both rotifers and Artemia have nutritional deficiencies for marine species, particularly in essential n-3 highly unsaturated fatty acids (HUFA, e.g., docosahexaenoic acid and eicosapentaenoic acid). Enrichment of these live feeds with HUFA-rich lipid emulsions may lead to an excess dietary lipid and sub-optimal dietary protein content for fish larvae. In addition, rotifers and Artemia are likely to have sub-optimal dietary levels of some amino acids, vitamins and minerals, at least for some species. Several species of microalgae are also used in larviculture. These are used as feed for other live feeds, but mostly in the ‘green water’ technique in fish larval rearing, with putative beneficial effects on feeding behaviour, digestive function, nutritional value, water quality and microflora. Copepods and other natural zooplankton organisms have also been used as live feeds, normally with considerably better results in terms of larval survival rates, growth and quality, when compared with rotifers and Artemia. Nonetheless, technical difficulties in mass-producing these organisms are still a constraint to their routine use. Improvements in inert microdiets will likely lead to a progressive substitution of live feeds. However, complete substitution is probably years away for most species, at least for the first days of feeding.