Aeromonas is a bacterial pathogen that causes significant economic losses in the Macrobrachium rosenbergii industry. This study evaluated the transcriptome analysis of M. rosenbergii infected with A. veronii and examined the gene expression patterns associated with immunity in the gills, muscles, intestines, and hepatopancreas. Specifically, 47,988 unigenes and 15,604 differentially expressed genes (DEGs) were identified. The immune-related DEGs were primarily enriched in 20 innate immune signaling pathways, including the NOD-like receptor, Toll-like receptor, and RIG-I-like receptor signaling pathways, etc., as determined by KEGG enrichment analysis. Notably, autophagy-related genes ATG5, ATG12, ATG16L1, and ATG8 were enriched in the NOD-like receptor signaling pathways. Moreover, ATG12, ATG16L1, and ATG8 exhibited significantly up-regulated expression to varying degrees in the hepatopancreas, gills, muscles, and intestines at 12, 24, 36, and 48 h post-infection (hpi). In addition, many autolysosomes were observed in hepatopancreas cells of infected prawns using transmission electron microscopy (TEM). Ultimately, we identified the autophagy-related genes implicated in the immune response of M. rosenbergii, offering a theoretical foundation for elucidating the role of autophagy in the prawn's innate immune mechanisms.