The rapid expansion of shrimp aquaculture has been accompanied by significant disease challenges, driving the need for innovative prevention strategies. Probiotics, which are live microorganisms that confer health benefits to the host, have shown promise in controlling diseases in aquatic environments. Shrimp rely on their innate immune system, including physical barriers, and cellular and humoral defenses, for protection against pathogens. Physical barriers include the exoskeleton and the digestive tract, while cellular defenses involve hemocytes that engage in encapsulation, phagocytosis, and nodulation. Humoral defenses include the prophenoloxidase (proPO) system, lectins, agglutinins, and antimicrobial peptides (AMPs). Recent studies suggest that shrimp innate immunity can exhibit immunological memory, primarily through the actions of phagocytic cells. This review explores the use of probiotics in shrimp aquaculture, with a focus on their interaction with the shrimp immune system and their potential role in probiotic selection, either through environmental adaptation or as feed additives. Probiotics that enhance shrimp immunity by boosting phagocytosis, modulating the proPO system, and interacting with key signaling pathways such as Toll, IMD, and JAK/STAT offer a promising means of improving disease resistance. Probiotics play a critical role in modulating the infection process, influencing pathogen virulence factors, and shaping host-pathogen interactions. Further research into emerging immune pathways in shrimp could deepen our understanding of crustacean immunity and its applications in aquaculture.