Heat stress is an increasingly concerning topic under global warming. Heat stress can induce organisms to produce excess reactive oxygen species, which will lead to cell damage and destroy the antioxidant defense of aquatic animals. Chinese mitten crab, Eriocheir sinensis, is sensitive to the change in water temperature, and parent crabs are more vulnerable during the breeding stage. In the present study, the multi-omics responses of parent E. sinensis gills to heat stress (24 h) were determined via transcriptome and proteome. The integrative analysis revealed that heat shock protein 70 (HSP70) and glutathione s-transferase (GST) were significantly up-regulated at gene and protein levels after heat stress, indicating that HSP70 and the antioxidant system participated in the regulatory mechanism of heat stress to resist oxidative damage. Moreover, the “Relaxin signaling pathway” was also activated at gene and protein levels under 30 °C stress, which implied that relaxin may be essential and responsible for reducing the oxidative damage of gills caused by extreme heat stress. These findings provided an understanding of the regulation mechanism in E. sinensis under heat stress at gene and protein levels. The mining of key functional genes, proteins, and pathways can also provide a basis for the cultivation of new varieties resistant to oxidative stress.