Water temperature is a crucial ecological factor in aquatic environments. In the context of global warming, aquatic organisms are inevitably subject to thermal stress. The kuruma shrimp Marsupenaeus japonicus is an important commercial crustacean and has become one of the most important species in shrimp fisheries and aquaculture in China. However, M. japonicus showed relatively poor thermotolerance and frequently suffers mass mortalities during the summer months. The thermally sensitive properties of this species also make it a potential indicator species to reflect thermal alteration. Since this species raises both commercial and scientific interests, we investigated the effects of thermal stress on M. japonicus with special emphases on oxidative stress and antioxidant response, heat shock proteins expression profiles and histological changes. The results revealed that transcription of antioxidant enzymes (MjSeGpx and MjGSTMu) and heat shock proteins (Mjhsp60, Mjhsp70 and Mjhsp90) were all dramatically induced in both hepatopancreas and gill of M. japonicus under thermal stress with various expression patterns, and the up-regulated extent of the five genes exhibited a tendency of increasing with temperature. Several oxidative stress biomarkers, including MDA content, CAT activity, SOD activity and GST activity were assessed. The CAT activity was found to be more inducible than SOD and GST activities under thermal stress. In contrast to the higher basal antioxidant enzymes activities in the gill than that in the hepatopancreas, the hepatopancreas exhibited higher MDA content than that of gill. In consistent with the relatively higher MDA content, histological alterations appeared in the hepatopancreas of M. japonicus under thermal stress. This study provided comprehensive clues for uncovering the mechanisms underlying the thermal stress response and summer mortality syndrome of M. japonicus and evaluating the bioindicator potential of this species.