Protein is the most important thing. If it's high protein and they'll eat it, that's pretty much all that matters.
You can get earthworms online. Contrary to what some people say, red wigglers are a pretty good option. All you have to do is blanch them in hot water and your axolotls will eat them with no complaints. European nightcrawlers taste better if you DON'T want to kill them first, but they're considerably bigger, possibly a little too big for smaller axolotls. So then you have to cut them up, and then you've gotta kill them anyway.
Pellets (usually salmon or trout pellets) are also a great option. You can buy pellets, I think they're labeled as "Axolotl Pellets" on eBay. Super easy, fast shipping, reasonably priced.
Like I said, axolotls just need a high protein diet with not a whole lot of fiber or fillers. If you've got high protein pellets or cubes of some sort, see if you can get them to eat them. If they'll eat them, they should be fine. Some pellets might be a little too hard (remember that axolotls don't chew, they simply swallow everything whole), but even harder pellets like shrimp pellets for bottom feeding fish will soften up when they get wet.
