Penaeid shrimp aquaculture has been consistently affected worldwide by devastating diseases that cause a severe loss in production. To fight a variety of harmful microbes in the surrounding environment, particularly at high densities (of which intensive farming represents an extreme example), shrimps have evolved and use a diverse array of antimicrobial peptides (AMPs) as part of an important first-line response of the host defense system. Cationic AMPs in penaeid shrimps composed of penaeidins, crustins, and anti-lipopolysaccharide factors are comprised of multiple classes or isoforms and possess antibacterial and antifungal activities against different strains of bacteria and fungi. Shrimp AMPs are primarily expressed in circulating hemocytes, which is the main site of the immune response, and hemocytes expressing AMPs probably migrate to infection sites to fight against pathogen invasion. Indeed, most AMPs are produced as early as the nauplii developmental stage to protect shrimp larvae from infections. In this review, we discuss the sequence diversity, expression, gene structure, and antimicrobial activities of cationic AMPs in penaeid shrimps. The information available on antimicrobial activities indicates that these shrimp AMPs have potential therapeutic applications in the control of disease problems in aquaculture.