Because of the composition and structural complexity of crustacean shells, their color change mechanism during thermal processing remains unclear. This study identified and characterized two intrinsic protein components, hemocyanin (Lv-Hc) and β-1,3-glucan-binding protein (Lv-BGBP) from Litopenaeus vannamei shrimp shells by a combination of ion-exchange chromatography, gel filtration, and mass spectrometry. It was found that a mixture of Lv-Hc, a gray protein, and Lv-BGBP (which is a natural astaxanthin-binding protein with a red color) is responsible for the brown color of fresh shrimp shells. Upon heating to 100 °C, the mixture of these proteins turned red, mimicking the color change observed in cooked shrimp shells. This transition is attributed to the extremely high thermal stability of Lv-BGBP, which has the ability to protect astaxanthin from thermal induced degradation. These findings provide significant insights into the molecular mechanism governing shrimp shell coloration, advancing our understanding of crustacean biochemistry.