Copper is one of common contaminants in estuaries and coastal zones, which may cause physiological dysfunction in aquatic organisms. However, molecular response triggered by Cu have remained largely unknown in freshwater prawn Macrobrachium rosenbergii. In the present study, we performed transcriptomic analysis to characterize molecular mechanisms of copper immunotoxicity in gills from M. rosenbergii. A large number of potential simple sequence repeats (SSRs) and single nucleotide polymorphisms (SNPs) loci in the transcriptome were identified. 19,417 and 8989 differentially expressed genes (DEGs) were obtained at 3 h and 48 h after exposure, respectively. Most of these DEGs were down-regulated implying that gene expressions were largely inhibited by Cu, which might lead to impairments of biological functions. Functional enrichment analysis of these DEGs revealed that immune, detoxification and apoptosis were the differentially regulated processes by Cu stress. 12 DGEs involved in immune response and heavy metal detoxification were discovered and validated by qRT-PCR. The results indicated that the M. rosenbergii might counteract the toxicity of Cu at the transcriptomic level by increasing expressions of immune- and heavy metal detoxification-related genes, and these selected genes could be used as molecular indicators for Cu stress. Our study firstly reported the stress response at transcriptional level in M. rosenbergii during Cu exposure. The genes and pathways identified here not only give us new insight into molecular mechanisms underlying Cu toxicity effects in prawn, but facilitate biomarker identification and stress-resistant breeding studies.