Insects tend to be very protein-rich. One typical Mormon cricket has as much, if not more, protein per weight as soy. In terms of fat, caterpillars and termites have a lot of fat in them (more than 600 kcal/100g), and most of them are higher in fat than soybeans (pork is better) – more than good enough for a spider (and, well, humans). Cholesterol varies between none and similar levels as in other animals (1 mg sterol/g). In terms of vitamins, a diverse diet of insects (as spiders have) will get you way more vitamins than you actually need – you can feed a baby rat only caterpillars and it will grow. Spiders don’t digest the exoskeleton, so there’s no point mentioning fiber from chitin.
So in all, insects can be very nutritious – they have muscle and fleshy organs inside them, after all, and many of the most nutritious ones are herbivores and so are full of vitamins (vitamins can only be acquired from plants). They’re like mini-cows, but way more chewy (for humans, at least).