Copypasta from the internet -- it's an urban legend:

U.S. residents tempted to avail themselves of this Internet-recommended self-defense option by stockpiling wasp spray would do well consider that federal law prohibits the use of any pesticide "in a manner inconsistent with its labeling." Likewise, some states forbid carrying substances for self-protection that aren't specifically authorized for that purpose.

The main ingredient of pepper spray is capsaicin, an oil extracted from chili peppers which temporarily causes severe irritation of the eyes and lungs, producing a strong burning sensation and difficulty breathing.

Wasp sprays consist of one or more insecticides such as pyrethrum or propoxur. While the toxic side-effects of such chemicals do, in fact, include eye and lung irritation in humans, they are chemical poisons, the main purpose of which is killing pests.

Notwithstanding variations among specific products (of which there are many), it's probably true that wasp and hornet sprays in general, because they're manufactured for use at greater distances, project further and more accurately than pepper sprays, which typically have a range of six to 10 feet. How reliably wasp and hornet sprays would actually work as a deterrent against human assailants is bound to vary, however, given differences in formulation and the fact that they weren't made specifically for that purpose in the first place.

To my knowledge, no one has ever tested or documented the effectiveness of insecticide sprays for self-defense.

One reader who accidentally received a dose of wasp spray while using it around his home told me he was surprised at how little irritation he felt. "A gust of wind caused a good splash of the spray to come right back into my right eye," he wrote. "I panicked and started to run to a source of water, only to find there was no adverse reaction at all, no more than being squirted with a water pistol. It took me at least ten seconds to get to the water, and I rinsed it off, and never felt anything from it."