Astaxanthin (Axn), a feed additive, can improve growth performance and enhance the environmental stress tolerance of shrimp at all growth stages. High carbonate alkalinity is considered a major stressor that affects the survival, growth, and reproduction of aquatic animals in saline–alkaline waters. In this study, a combined analysis of physiology, transcriptomics, and metabolomics was performed to explore the effected mechanism of Axn on Exopalaemon carinicauda (E. carinicauda) under alkalinity stress. The results revealed that dietary Axn can inhibit oxidative stress damage caused by alkalinity stress and maintain the normal cell structure and mitochondrial membrane potential. Transcriptomic data indicated that differentially expressed genes (DEGs) under alkalinity stress and those under alkalinity stress after Axn feeding were associated with apoptosis. The metabolic data suggested that alkalinity stress has adverse effects on ammonia metabolism, unsaturated fatty acid metabolism, and TCA cycle, and dietary Axn can improve the metabolic processes in E. carinicauda. In addition, transcriptomics and metabolomics analyses showed that Axn could help maintain the cytoskeletal structure and inhibit apoptosis under alkalinity stress; a TUNEL assay further confirmed these effects. Lastly, metabolic responses to alkalinity stress included changes in multiple amino acids and unsaturated fatty acids, and pathways related to energy metabolism were downregulated in the hepatopancreas of E. carinicauda under alkalinity stress. Collectively, all these results provide new insights into the molecular mechanisms underlying alkalinity stress tolerance in E. carinicauda after Axn feeding.