Penaeid shrimp has a distinctive metamorphosis stage during early development. Although morphological and biochemical studies about this ontogeny have been developed for decades, researches on gene expression level are still scarce. In this study, we have investigated the transcriptomes of five continuous developmental stages in Pacific white shrimp (Litopenaeus vannamei) with high throughput Illumina sequencing technology. The reads were assembled and clustered into 66,815 unigenes, of which 32,398 have putative homologues in nr database, 14,981 have been classified into diverse functional categories by Gene Ontology (GO) annotation and 26,257 have been associated with 255 pathways by KEGG pathway mapping. Meanwhile, the differentially expressed genes (DEGs) between adjacent developmental stages were identified and gene expression patterns were clustered. By GO term enrichment analysis, KEGG pathway enrichment analysis and functional gene profiling, the physiological changes during shrimp metamorphosis could be better understood, especially histogenesis, diet transition, muscle development and exoskeleton reconstruction. In conclusion, this is the first study that characterized the integrated transcriptomic profiles during early development of penaeid shrimp, and these findings will serve as significant references for shrimp developmental biology and aquaculture research.