Animal has an extrinsic response to the changes of internal and external environments. To ensure the stabilization of internal environment, animal should adjust its behavior to conform the changes of external environmental factors. This paper reviewed the research advances at home and abroad on the effects of environmental factors on the behavior of penaeid shrimps, with the focus on the effects of light, current and tide, dissolved oxygen, substrate, and water temperature on the feeding, locomotion, spawning, moulting, burrowing and emergence of penaeid shrimps. The behavioral adjustment of penaeid shrimps to the changes of environmental factors was also summarized. The existing problems and future research directions in the behavioral ecology of penaeid shrimps, e.g., the relationships between penaeid shrimps behavior and disease spread, effects of penaeid shrimps behavior on aquaculture ecosystem, and effects of environmental factors on penaeid shrimps behavior in intensive and high-density culture, were put forward.