Abstract The development of aquaculture is closely related to human life. Crustaceans play essential roles in aquaculture. However, the cultivation of crustaceans has been plagued by various diseases, causing substantial economic losses. At present, the occurrence of shrimp diseases is directly related to environmental stress and physiological dysfunction, and especially environmental stress has become an important factor inducing diseases. Therefore, how to regulate the immune defence of crustaceans under environmental stress has become the primary problem in the prevention and control of shrimp diseases. The neuroendocrine‐immune system plays a vital role in maintaining homeostasis and enhancing environmental adaptability. Besides, in the evolutionary sense, with the theory that the nervous system and the immune system have a common origin put forward, the research on the neuroendocrine‐immune system of invertebrates has gradually become a hot spot. This review describes the evolution and communication mechanism of the neuroendocrine system and immune system in vertebrates and invertebrates, summarizes the characteristics of the neuroendocrine system and immune system in crustaceans, and focuses on how environmental stress affects the regulation of the neuroendocrine system on the immune system in crustaceans, as well as the influence of these regulations on host immune defence. This review also introduced the immune regulation of crustacean intestines under environmental stress and the effect of pathogen stress on crustacean immunity, hoping to lay a theoretical foundation for the follow‐up study of crustacean stress resistance and provide theoretical guidance for the healthy aquaculture of crustaceans.