Because of the importance of shrimp in world aquaculture, there is much interest in understanding their immune system in order to improve their resistance to pathogenic microorganisms. An effective tool in studying genes involved in the immune response in shrimp is RNA interference (RNAi). RNAi, first recognized as an antiviral response against RNA viruses, is a cellular mechanism that is triggered by double-stranded RNAs and results in the degradation of homologous genes. In this review, we describe the current studies of genes in shrimp that employed RNAi technology to elucidate or confirm their functions. We also review the potential of RNAi to elicit antiviral response in shrimp.