Below follows a list of food I have given to my Centruroides flavopictus species I own. The scorpion was an accident, back then I didn't know that scorpions can be cannibalistic.
Crickets and grasshoppers are the easiest to get here outside, except for roaches. However, since cockroaches are excellent escape artists I rarely give them to my scorpions. The worm was an early "accident". The next day I saw that the scorpion had chopped it in pieces, but I am not sure if it ate anything.
A disadvantage of grasshoppers is that, in my experience, they die fast. Crickets are easier to keep, even for many days.
I had quite a big millipede, over 5 cm (over 2 inch) living with one scorpion and the scorpion didn't seem interested in eating or attacking it. I have also several sowbugs (woodlice) living with one scorpion. I have never seen one being eaten by it though. The bugs do clean up the terrarium however. The downside is that they bother the scorpion when it's eating a cricket.
Centruroides flavopictus doesn't seem to me like a big eater. Once a big cricket in one or even two weeks seems to be quite ok. This way the scorpion stays quite active. If I feed them two times a week they get quite lazy and stop being really interested in catching their food or even grabbing it.
I use bottle caps for water supply.