African cichlids is a pretty broad category. For Haps and Peacocks pretty much any worms(black worms, small earthworms, even occasional white worms) can work. They are too rich for most mbuna. I think that you can daphnia and shrimp to any African cichlids.
Live fish are not usually beneficial to feed to African cichlids.
Just because they will eat them, does not mean it is the best diet. Mbuna are vegetarian, so feeders are entirely inappropriate for them. Some Haplochromis are fish-eaters, but the dangers of disease from feeders outweigh the benefits. If you want to feed feeders, you should raise your own.