Penaeid shrimp aquaculture is impacted by various diseases. However, most published studies on physiological responses to pathogens have focused on the changes in one or two tissues of shrimp infected by a single pathogen, or the effects of two pathogens infecting the shrimp in a single tissue. There has been limited systematic examination on the similarities and differences of immune responses in multiple tissues under various pathogen infection. Here, the transcriptomic changes of three immune tissues (gill, hepatopancreas and hemocytes) under the infection of white spot syndrome virus (WSSV), Vibrio parahaemolyticus acute hepatopancreatic necrosis disease (VP_AHPND), and decapod iridovirus 1 (DIV1) were examined to provide new insights regarding the immune responses of the most important cultured shrimp, Penaeus vannamei. The results showed tissue-specific differences in the immune responses of shrimp tissues. The significant differentially expressed genes (DEGs) in gill are mainly related to environmental information processing and cellular processes. The DEGs in hemocytes are mostly involved in cellular processes, while those in hepatopancreas are primarily associated with metabolism. In addition, cytoskeleton-related proteins, MAPK signaling pathway, complement and coagulation level pathway, and thermogenesis may play key roles in the shrimp–pathogen interactions across tissues. These findings shed light on the typical immune responses of Penaeus vannamei under the infection of pathogens and contribute to the sustainable development of penaeid shrimp farming.