Pacific white shrimp (Penaeus vannamei) farming contributes significantly to the economy of many countries. Besides the dissemination of pathogenic agents, one of the major obstacles to production is the high cost of shrimp feed. For the nutrition of aquaculture species, fishmeal (FM) is the main source of protein. However, more sustainable and economical alternative protein sources are being investigated. This work aims to evaluate weight gain, digestive enzyme profiles, oxidative stress, and immunological and microbiological parameters of juvenile P. vannamei shrimps fed with a diet based on the cockroach Nauphoeta cinerea (NC), using different percentages of insect meal in relation to FM (25, 50, 75, and 100% NC). After 20 days of feeding, the results showed that there was no significant difference between the treatments and controls when considering the following parameters: trypsin, chymotrypsin, α-amylase, and catalase activities, total haemocyte counts, total serum protein concentration, phenoloxidase activity, and serum binding capacity. Furthermore, the data obtained for zootechnical performance revealed that weight gain, growth rate, and survival rate were not altered when replacing FM with insect meal in the shrimp diet. Therefore, NC meal can be used as a replacement for FM in P. vannamei shrimp diets without any negative effects on zootechnical performance or animal health.