The heat shock response (HSR) has important functions in a cell's reaction to stresses. The HSR is regulated and effected by heat shock proteins (HSPs) and heat shock factors (HSFs). Herein, the full-length cDNA of Marsupenaeus japonicus heat shock protein 70 (MjHSP70) was isolated and sequenced. The MjHSP70 cDNA comprised 2346 bp with an open reading frame of 1959 bp, encoding a protein of 653 amino acids. Both MjHSF1 and MjHSP70 are widely expressed across tissues. In response to low temperature stress, MjHSF1 and MjHSP70 expression levels were significantly upregulated in the gill and hepatopancreas. After RNA interference-mediated knockdown of MjHSP70, the mortality rate of M. japonicus increased significantly under low temperature stress, apoptotic genes, e.g., Mjcaspase3 and Mjbcl2, showed significantly upregulated expression, and the apoptotic cell count also increased. Additionally, dual luciferase assays showed that MjHSF1 activated MjHSP70 transcription, and MjHSP70 expression was downregulated after MjHSF1 silencing. The results of glutathione-S-transferase GST pull-down assays indicated that MjHSP70 interacted with MjHSF1's DNA binding domain. Our findings suggested that the MjHSF1-MjHSP70 axis exerts a vital function in M. japonicus' immune response to cold stress.