The Malaysian giant freshwater prawn, Macrobrachium rosenbergii, is an economically important crustacean worldwide. However, production of this prawn is facing a serious threat from Vibriosis disease caused by Vibrio species such as Vibrio parahaemolyticus. Unfortunately, the mechanisms involved in the immune response of this species to bacterial infection are not fully understood. We therefore used a high-throughput deep sequencing technology to investigate the transcriptome and comparative expression profiles of the hepatopancreas from this freshwater prawn infected with V. parahaemolyticus to gain an increased understanding of the molecular mechanisms underlying the species’ immune response to this pathogenic bacteria. A total of 59,122,940 raw reads were obtained from the control group, and 58,385,094 reads from the Vibrio-infected group. Via de novo assembly by Trinity assembler, 59,050 control unigenes and 73,946 Vibrio-infected group unigenes were obtained. By clustering unigenes from both libraries, a total of 64,411 standard unigenes were produced. The standard unigenes were annotated against the NCBI non-redundant, Swiss-Prot, Kyoto Encyclopaedia of Genes and Genome pathway (KEGG) and Orthologous Groups of Proteins (COG) databases, with 19,799 (30.73%), 16,832 (26.13%), 14,706 (22.83%) and 7,856 (12.19%) hits respectively, giving a final total of 22,455 significant hits (34.86% of all unigenes). A Gene Ontology (GO) analysis search using the Blast2GO program resulted in 6,007 unigenes (9.32%) being categorized into 55 functional groups. A differential gene expression analysis produced a total of 14,569 unigenes aberrantly expressed, with 11,446 unigenes significantly up-regulated and 3,103 unigenes significantly down-regulated. The differentially expressed immune genes fall under various processes of the animal immune system. This study provided an insight into the antibacterial mechanism in M. rosenbergii and the role of differentially expressed immune genes in response to V. parahaemolyticus infection. Furthermore, this study has generated an abundant list of transcript from M.rosenbergii which will provide a fundamental basis for future genomics research in this field.