The objective of this study is to explore the immune response of the shrimp Penaeus vannamei to low temperature and air exposure during the mimic waterless transportation. Shrimp were cold shocked at 13 °C for 3 min, then exposed to air at 15 °C for 12 h, and finally revived in water at 25 °C. Hemocyte structure remained intact with only slight distortions of some organelles and nuclear membrane under the stress. Phenoloxidase (PO), lysozyme (Lys) and gamma-glutamyl transferase (GGT) activities, glutamine (Gln) content and relative mRNA expressions of prophenoloxidase (proPO), β-1,3-glucan binding protein (LGBP), ferrin (Fer) and glucose regulated protein 78 (GRP 78) increased and reached peak levels after 3 h-9 h of air exposure, and then decreased to relatively stable levels in the prolonged period of air exposure. The total hemocyte count (THC) and gene expressions of proPO, Fer and LGBP at the end of waterless storage were significantly lower (p < 0.05) than those in fresh shrimp while no significant difference (p ≥ 0.05) was found between revived and fresh shrimp in PO, Lys, GGT activities, Gln content and gene expression level of GRP 78. Of all the hemocytes, the percentage of semi granular cells (SGC) and granular cells (GC) significantly decreased after 6-9 h of storage, while hyaline cells (HC) dramatically increased after 9 h of storage to compensate the loss of SGC and GC. Results suggested that the low temperature and air exposure caused significant immunological response to the shrimp, but the damages to the immune system were partly reparable.