I'm with Heather... I don't have a clue what they are. I don't think they are lobster or dubia - their rear ends look to be a different color than what you normally see on those species. If you caught them they are probably indigenous to your country. Where do you live? You may want to go to a forum that specializes in pet roaches; I bet someone could tell you there.

Even though we don't know what they are, feeding them fruits and veggies should be a pretty safe bet.