Water-free transportation (WFT) causes shrimp (Penaeus vannamei) flesh quality deterioration. However, the roles of endogenous protease-induced protein hydrolysis have been neglected in the research. In the present study, calpain zymography, gelatinase zymography, the hematoxylin–eosin staining method, and other methods were applied to investigate the response of various endogenous proteases (cathepsin, calpain, and gelatinase), the myofibril fragmentation index (MFI), and the microscopic morphology of shrimp muscle during WFT in comparison with the shrimp under the conventional water transportation strategy (WT). The results showed that the total activity of proteases in shrimp muscle increased significantly (p ≤ 0.05) after simulated transportation. Cathepsins and gelatinases were activated during WFT. No significant (p > 0.05) changes of the activity of caspase-3 and the muscle cell apoptosis rate were detected in shrimp muscle cells after WFT. In addition, the MFI increased and the gap among muscle fiber bundles enlarged after WFT. Compared with WFT, no significant (p > 0.05) effect on the activities of calpain, gelatinase, and caspase-3 in the muscle of shrimp was found after WT, and only the activity of cathepsin L significantly increased (p ≤ 0.05). Based on the findings, we concluded that the activation of various endogenous proteases was induced during WFT.