Heat shock factors (HSFs) and heat shock proteins (HSPs) are crucial regulators and effectors of the heat shock response (HSR). In this study, the full-length cDNA sequences of MjHSP10 and MjHSF1 were cloned by rapid amplification of cDNA ends (RACE). The deduced MjHSP10 and MjHSF1 amino acid (aa) sequences exhibited conserved structures and the functional features of HSP10 and HSF1, respectively. The tissue distributions and mRNA expression profiles of the two genes in response to heat stress were analyzed by quantitative real-time PCR (qRT-PCR). MjHSP10 and MjHSF1 were ubiquitously expressed in various tissues. Heat stress induced a significant increase in MjHSP10 expression that tend to positively correlate with temperature. Additionally, MjHSF1 transcription was up-regulated less than MjHSP10 transcription under heat stress. MjHSF1 expression in the hepatopancreas was up-regulated under only long-term (48 h) heat stress, and MjHSF1 transcription in the gill increased under only acute (34 °C) heat stress. MjHSF1 knockdown by RNA interference (RNAi) down-regulated MjHSP10 expression. Glutathione-S-transferase (GST) pull-down assays showed an interaction between MjHSP10 and the DNA-binding domain (DBD) of MjHSF1. This study provided new insights into cross talk between HSP10 and HSF1 in Marsupenaeus japonicus.