As invertebrates, shrimp are generally thought to solely rely on their innate immune system to combat invading pathogens. Recently, an increasing number of studies have revealed that the innate immune response of invertebrates exhibits diversity and specificity based on their diverse immune molecules. Herein, a full-length transcriptome analysis of several immune-related tissues (hepatopancreas, gill, hemocytes, stomach and intestine) in the kuruma shrimp (Marsupenaeus japonicus) was conducted to identify immune-related molecules with a focus on transcript variations. In total, 11,222 nonredundant full-length transcripts with an N50 length of 5174 were obtained, and most of these transcripts (94.84%) were successfully annotated. In addition, a total of 147 long noncoding RNAs (lncRNAs) were also predicted. Importantly, transcript variants of several vital immune-related genes were observed, including twenty-five alpha-2-macroglobulins (α2-Ms), ten Toll-like receptors (TLRs), six C-type lectins (CTLs), five M-type lectins (MTLs) and three Down syndrome cell adhesion molecules (Dscams). Furthermore, 509 nonredundant full-length transcripts were predicted to be generated from alternative splicing (AS) events, which contribute to the diversity of immune molecules. Overall, our study provides valuable data on the full-length transcripts of M. japonicus, which will facilitate the exploration of immune molecules in this species. Moreover, numerous transcript variants of immune molecules detected in this study provide clues for further investigating the diversity and specificity of the innate immune response in shrimp.