We develop a theory of quantum oscillations in insulators with an emergent Fermi sea of neutral fermions minimally coupled to an emergent U(1) gauge field. As pointed out by Motrunich [Phys. Rev. B 73, 155115 (2006)PRBMDO1098-012110.1103/PhysRevB.73.155115], in the presence of a physical magnetic field the emergent magnetic field develops a nonzero value leading to Landau quantization for the neutral fermions. We focus on the magnetic field and temperature dependence of the analog of the de Haas-van Alphen effect in two and three dimensions. At temperatures above the effective cyclotron energy, the magnetization oscillations behave similarly to those of an ordinary metal, albeit in a field of a strength that differs from the physical magnetic field. At low temperatures, the oscillations evolve into a series of phase transitions. We provide analytical expressions for the amplitude and period of the oscillations in both of these regimes and simple extrapolations that capture well their crossover. We also describe oscillations in the electrical resistivity of these systems that are expected to be superimposed with the activated temperature behavior characteristic of their insulating nature and discuss suitable experimental conditions for the observation of these effects in mixed-valence insulators and triangular lattice organic materials. © 2018 American Physical Society.