Yeast is a health-promoting and bio-therapeutic probiotic that is commonly used in aquaculture. Rhodotorula paludigena CM33 can accumulate amounts of intracellular carotenoids and lipid, which are regarded as nutritionally beneficial compounds in various aspects. The aim of this study was to evaluate the impact of different levels of R. paludigena CM33 (RD) incorporated in a dietary composition at 0% (control), 1% (1% RD), 2% (2% RD), and 5% (5% RD) on the growth of shrimp (Litopenaeus vannamei), their immune-related gene expression, intestinal health, resistance to Vibrio parahaemolyticus (VPAHPND) infection, and meat composition. The results showed significant improvements in the specific growth rate, weight gain, and survival of shrimp fed with 1% RD, 2% RD, and 5% RD, which were higher than the control group after 4 weeks of administration. The administration of 5% RD group resulted in a decrease in cumulative mortality upon VPAHPND challenge when compared to the control group. Furthermore, the expression levels of immune-responsive genes, including proPO system (prophenoloxidase-2: PO2), antioxidant enzyme (superoxide dismutase: SOD, glutathione peroxidase: GPX, and catalase: CAT), JAK/STAT pathway (signal transducer and activator of transcription: STAT, gamma interferon inducible lysosomal thiol reductase: GILT), IMD pathway (inhibitor of nuclear factor kappa-B kinase subunit beta and epsilon: IKKb and IKKe), and Toll pathway (Lysozyme) genes, were up-regulated in the 5% RD group. In the context of microbiota, microbiome analysis revealed that the main phyla in shrimp intestines were Proteobacteria, Firmicutes, Bacteroidota, Campilobacterota, Actinobacteriota, and Verrucomicrobiota. At the genus level, Vibrio was found to be reduced in the 5% RD group, whereas the abundance of potentially beneficial bacteria Bifidobacterium was increased. The 5% RD group showed a significant increase in the levels of crude protein and crude lipid, both of which are essential nutritious components. Our results show the capability of R. paludigena CM33 as a probiotic supplement in shrimp feed in improving growth, antimicrobial responses against VPAHPND, and meat quality by increasing protein and lipid content in shrimp.