In the present study, we investigated whether long-term administration of high dose of α-linolenic acid (ALA) is able to mimic the effects of eicosapentaenoic acid (EPA) and docosahexaenoic acid (DHA) or a mixture of both with respect to insulin sensitivity in male Wistar rats. Furthermore, we intended to test whether these n–3 polyunsaturated fatty acids reveal differential effects on glucose and insulin levels. As a result, plasma glucose and insulin levels were lowered by 35 and 38%, respectively, in the EPA and DHA group compared to the ALA group. Insulin sensitivity was substantially improved, as indicated by a 60% decreased HOMA index after an 8-week EPA and DHA administration, as compared to the effect observed for feeding ALA. However, insulin sensitivity did not differ between animals of the EPA and the DHA group. These results demonstrate that ALA intake at the expense of EPA and DHA in a diet high in n–3 fatty acids does not represent an alternative to raising oily fish consumption with regard to insulin sensitivity. Furthermore, a differential effect of the members of the n–3 family was shown for ALA compared to EPA and DHA, but EPA and DHA revealed comparable effects on insulin sensitivity.