The problem with this is most things from outside (like insects or maybe a mouse) likely have been exposed to many things that would be harmful to the captive animal. Insects, e.g. may be contaminated with harmful bacteria, fungus, or toxins like pesticides. All these may kill or poison your animal.

However, even if it does not harm the animal, it may still infect the enclosure. For example, if a small insect is carrying some bacteria or fungus, it may spread to the substrate or decor within the enclosure, causing multiple problems, and then potentially even killing the animal because of exposure. Even another situation that happens is perhaps the feeder animal is carrying parasites or other creatures, e.g. causing an infestation, bringing significant problems for your animal and yourself down the road.

Therefore, it is strongly advised not to feed your animals anything from outside. Using feeder animals from a reputable breeder. It is a safer and better option.