While most areas do not allow capture of wild hedgehogs, keeping a pet African Pygmy Hedgehog may be allowed.
Hedgehogs are sometimes fed cat food but do best on a proper Hedgehog food with meat as a main ingredient (not corn). They can have dried crickets or mealworms as treats.
Probably the biggest issue with keeping a pet Hedgehog, other than laws allowing them, is the fact that they are nocturnal - meaning they are active at night when their owners are trying to sleep. As well if they get too cold they may try to hibernate and will often die, as this is not natural. A pet Hedgehog should be taken out of its cage nightly for at least 2 hours.
Of course, as with any pet, exotic pets like Hedgehogs, are best to be purchased from a breeder, or adopted from an animal shelter, and never bought at a pet store.
I will also share with you a link written by my husband with information we gathered, it should be considered a good introductory guide to Pet Hedgehogs, click here.