The aim of the present experiment was to evaluate the effects of Schizochytrium limacinum supplementation on the immune response, gut microbiota, and health of Penaeus monodon fed a low fish-meal (FM) diet. A diet containing 25% FM was used as a control (Diet A), and three other diets were formulated to contain 15% FM and supplemented with 0, 0.75, and 1.5% S. limacinum (Diet B, C, and D, respectively). The experiment was carried out in quadruplicates (30 shrimp per replicate, average weight 1.01 ± 0.01 g), and the shrimps were fed the test diets to apparent satiation three times daily for 8 weeks. Shrimp fed diet B and D showed lower weight gain than those fed diet A. Supplementation of 0.75% S. limacinum enhanced expression of antioxidative genes (superoxide dismutase and catalase) and immune-response-related genes in hepatopancreas but could not affect the gene expression of immune deficiency in hepatopancreas and Tube in the intestine. A low FM diet induced endoplasmic reticulum swelling of the intestinal epithelial cells, which was alleviated by S. limacinum supplementation. Ultra-performance liquid chromatography coupled with quadrupole time of flight mass spectrometry was employed to analyze the changes of hemolymph metabolomics, 49 significantly different metabolites were identified, and lysoPCs, deoxyinosine, inosine, and highly unsaturated fatty acids were lower in fish fed with low FM diets. Intestinal microbial diversity was lower in shrimp fed Diet B than those fed the control diet. Dietary supplementation of 0.75% S. limacinum increased intestinal microbial diversity of shrimp and decreased the ratio of pathogenic bacterium (Thalassotalea and Tenacibaculum). These results indicated that supplementing S. limacinum into a low FM diet improves the growth performance, immune response, and intestinal health of P. monodon. The optimum inclusion level of seems to be 0.75% of diet.