Several prostaglandins (PGs) and PG-synthesizing enzymes have been identified from insects. PGs mediate cellular and humoral immune responses. However, uncontrolled and prolonged immune responses might have adverse effects on survival. PG catabolism in insects has not been reported. Here, using a transcriptomic analysis, we predicted two PG-degrading enzymes, PG dehydrogenase (SePGDH) and PG reductase (SePGR), in Spodoptera exigua, a lepidopteran insect. SePGDH and SePGR expression levels were upregulated after immune challenge. However, their expression peaks occurred after those of PG biosynthesis genes such as PGE2 synthase or PGD2 synthase. SePGDH and SePGR expression levels were upregulated after injection with PGE2 or PGD2. In contrast, such upregulated expression was not detected after injection with leukotriene B4, an eicosanoid inflammatory mediator. RNA interference (RNAi) using double-stranded RNAs specific to SePGDH or SePGR suppressed their expression levels. The RNAi treatment resulted in an excessive and fatal melanization of larvae even after a non-pathogenic bacterial infection. Phenoloxidase (PO) activity mediating the melanization in larval plasma was induced by bacterial challenge or PGE2 injection. Although the induced PO activity decreased after 8 h in control, larvae treated with dsRNAs specific to PG-degrading enzyme genes kept the high PO activities for a longer period compared to control larvae. These results suggest that SePGDH and SePGR are responsible for PG degradation at a late phase of immune responses.