Protein-protein interaction networks (PINs) have been constructed in various organisms and utilized to conduct evolutionary analyses and functional predictions. Litopenaeus vannamei is a high-valued commercial aquaculture species with an uncharacterized interactome. With the development of RNA-seq techniques and systems biology, it is possible to obtain genome-wide transcriptional information for L. vannamei and construct a systematic network based on these data. In this work, based on the RNA-seq of haemocytes we constructed the first L. vannamei PIN including 4,858 proteins and 104,187 interactions. The PIN constructed here is the first large-scale PIN for shrimp. The confidence scores of interactions in the PIN were evaluated on the basis of sequence homology and genetic relationships. The immune-specific sub-network was extracted from global PIN, and more than a third of proteins were found in signaling pathways in the sub-network, which indicates an inseparable relationship between signaling processes and immune mechanisms. Six selected signaling pathways were constructed at different age groups based on evolutionary analyses. Furthermore, we showed that the functions of the pathways' proteins were associated with their evolutionary history based on the evolutionary analyses combining with protein functional analyses. In addition, the functions of 1,955 unclassified proteins which were associated with 3,191 unigenes were assigned using the PIN, which account for approximately 70.3 and 44.9% of the previously unclassified proteins and unigenes in the network, respectively. The annotation of unclassified proteins and unigenes based on the PIN provides new candidates for further functional studies. The immune-specific sub-network and the pathways extracted from the PIN provide a novel information source for studying of immune mechanisms and disease resistances in shrimp.