Zymosan-A is a kind of beta-glucan that plays an important role in immune regulation in animals. The impact of dietary zymosan-A on the immune response in Penaeus vannamei was investigated using transcriptome analysis. P. vannamei were fed zymosan-A at doses of 0 mg·kg−1 (Z0), 1 mg·kg−1 (Z1), 5 mg·kg−1 (Z5), 25 mg·kg−1 (Z25), 125 mg·kg−1 (Z125), and 625 mg·kg−1 (Z625) in the diet, respectively. Compared with the control group, the group that took 25 mg·kg−1 of zymosan-A had a significantly enhanced survival rate of P. vannamei after white spot syndrome virus (WSSV) infection. In the serum of P. vannamei, the activities of catalase (CAT), superoxide dismutase (SOD), phenol oxidase (PO), lysozyme (LZM), acid phosphatase (ACP), glutamic pyruvic transaminase (GPT), and alkaline phosphatase (AKP) significantly increased while the glutamic oxaloacetic transaminase (GOT) activity and the malondialdehyde (MDA) contents significantly decreased by varying degrees following dietary zymosan-A intake. Transcriptome analysis identified 3879 (563 down-regulated and 3316 up-regulated), 4765 (1968 down-regulated and 2797 up-regulated), 3827 (756 down-regulated and 3071 up-regulated), 6395 (2857 down-regulated and 3538 up-regulated), and 4655 (1780 down-regulated and 2875 up-regulated) differentially expressed genes (DEGs) between the Z0 group and the Z1, Z5, Z25, Z125, Z625 groups, respectively. Among all the DEGs, 1626 were shared in different zymosan-A containing groups compared to the Z0 group. Most of the DEGs were significantly enriched in immune-related signaling pathways, such as the phosphatidylinositol 3 kinase-protein serine-threonine kinase - RAC-alpha serine/threonine-protein kinase-like (PI3K-AKT), Toll-like receptor (TLR), and mitogen-activated protein kinase (MAPK) signaling pathways. Analysis of the unified DEGs in the zymosan-A added groups showed that the DEGs related to the TLR pathway were significantly regulated compared to those in the control group, and this was verified by gene expression analysis. All these results suggested that zymosan-A could improve the immunity of P. vannamei, probably by the regulation of the TLR signaling pathway.