Previously, we found that the expression of several genes, including HR, varied in Drosophila melanogaster after white spot syndrome virus (WSSV) infection. In this present study, we further investigated the role of HR in Kuruma shrimp, Marsupenaeus japonicus and determined its anti-apoptosis and anti-inflammation role in the innate immune system. We successfully identified a partial sequence (866 bp in length) of the M. japonicus hormone receptor ligand binding domain (mjHR_LBD/mjHR). The 5′ end of mjHR was successfully obtained; the open reading frame (ORF) ran from 33 to 701 bp, and encoded a protein containing 222 amino acids. mjHR belonged to the ligand binding domain of hormone receptors, was most likely part of a nuclear hormone receptor, and shared a close evolutionary relationship with other arthropods, such as insects. mjHR was expressed predominantly in immunity tissues such as gills, hemolymph and the hepatopancreas. WSSV infection could cause the down-regulation of mjHR, while infection with Vibrio alginolyticus could cause significant up-regulation of mjHR. The expression of mjHR was knocked down by dsRNA expressed by an engineered LITMUS 38i-HR plasmid. Virus and bacteria challenge experiment showed that the mortality of WSSV-infected shrimps was elevated in the absence of HR while the mortality of shrimps infected with V. alginolyticus was slightly reduced. Phenoloxidase (PO) activity, phagocytosis and apoptosis were promoted, while superoxide dismutase (SOD) activity was impaired, indicating that mjHR functions in an anti-apoptosis and anti-inflammation manner to prevent shrimp death caused by an over-load of immunity responses. Differences between mjHR expression and mortality change after WSSV or V. alginolyticus infection indicated that there was a different strategy for viruses or bacteria when confronted with the innate immune system.