While Vibrio parahaemolyticus (VPAHPND) has been identified as the cause of early mortality syndrome (EMS) or acute hepatopancreatic necrosis disease (AHPND) in shrimp, mechanisms of host response remain unknown. Understanding these processes is important to improve farming practices because this understanding will help to develop methods to enhance shrimp immunity. Pre-treatment of shrimp with 5-minute chronic non-lethal heat stress (NLHS) for 7 days was found to significantly increase Litopenaeus vannamei survival against VPAHPND infection. To elucidate the mechanism involved, mRNA and miRNA expression profiles from the hemocyte of L. vannamei challenged with VPAHPND after NLHS with corresponding control conditions were determined by RNA-Seq. A total of 2,664 mRNAs and 41 miRNAs were differentially expressed after the NLHS treatment and VPAHPND challenge. A miRNA-mRNA regulatory network of differentially expressed miRNAs (DEMs) and differentially expressed genes (DEGs) was subsequently constructed and the interactions of DEMs in regulating the NLHS-induced immune-related pathways were identified. Transcriptomic data revealed that miRNA and mRNA interactions contribute to the modulation of NLHS-induced immune responses, such as the prophenoloxidase-activating system, hemocyte homeostasis, and antimicrobial peptide production, and these responses enhance VPAHPND resistance in L. vannamei.