Gary MacPhail and Jane Naisbett discovered the creature inside the bread bought in their Asda store in Leechmere, Sunderland.
They bought the rolls fresh and put them straight into the freezer.
They took them out to defrost them and make sandwiches. Once the rolls had defrosted the couple discovered the earwig.
The creature was still moving around inside the sealed packet.
They took the rolls back to the store and claimed that they were offered a voucher for £5 as a goodwill gesture.
Asda said an inspection was carried out at the bakery but no evidence of insects was found.
‘No evidence of pests’
A spokesman for Asda told FoodManufacture.co.uk: “The quality of our products is our number one priority and we take any customer complaints incredibly seriously.
“We are at a loss to understand how this could have happened and are currently investigating the incident.
“In a thorough inspection of our bakery has found no evidence of any pests.
“We have apologised to the customer for any distress caused.”