Over the last decade, RNA interference pathways have emerged in eukaryotes as critical regulators of many diverse biological functions including, among others, transcriptional gene regulation, post-transcriptional gene silencing, heterochromatin remodelling, suppression of transposon activity, and antiviral defences. Although this gene silencing process has been reported to be relatively well conserved in species of different phyla, there are important discrepancies between plants, invertebrates and mammals. In penaeid shrimp, the existence of an intact and functional RNAi machinery is supported by a rapidly growing body of evidence. However, the extent to which this process participates to the host immune responses remains poorly defined in this non-model organism. This review summarizes our current knowledge of RNAi mechanisms in shrimp and focuses on their implication in antiviral activities and shrimp immune defences.