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The study was conducted to compare and evaluate effects of four different macro-algaes on growth, immune response, and intestinal microbiota of Litopenaeus vannamei. In the rearing trial 1, shrimp were fed five diets containing four sources of macro-algaes for 8 weeks, named D1 (without macro-algae), D2 (Porphyra haitanensis), D3 (Undaria pinnatifida), D4 (Saccharina japonica), and D5 (Gracilaria lemaneiformis), respectively. Growth performance of shrimp in D5 diet was significantly higher than that of shrimp fed the control and D4 diet (P < 0.05); however, there is no significant difference among D2, D3, and D5 diets (P > 0.05). Apparent digestibility coefficients of dry matter from the D2, D3, and D5 diets were significantly higher than that from the control and D4 diets (P < 0.05). Supplementary macro-algaes enhanced hepatopancreas immunity through positively increasing total antioxidant status (TAS) and prophenoloxidase activity (ProPO), as well as up-regulating the hepatopancreas RNA expression of ProPO and IκBα and down-regulating the expression of transforming growth factor β. Furthermore, dietary macro-algaes modified intestinal microbiota of L. vannamei, boosting the relative abundance of beneficial bacterial such as Bacteroidetes, Firmicutes, and Bacillaceae, and decreasing those detrimental bacterial such as Gammaproteobacteria and Vibrionaceae. In the white spot syndrome virus (WSSV) challenge trial, shrimps were injected for 6-day after the rearing trial. On the fourth day, shrimp death started to occur, and the mortality in D2, D3, and D5 diets was significantly lower than that in control and SJ diets during 4–6 challenged days (P < 0.05). Dietary macro-algaes ameliorated hepatopancreas damage in L. vannamei by increasing TAS and ProPO activities and decreasing SOD activity, inhibiting the lipid peroxidation (malondialdehyde), as well as regulating the immune-related genes expression. Taken together, dietary macro-algaes availably relieved enterohepatic oxidative damage by improving antioxidant ability and immunity and regulated intestinal microbiota in L. vannamei. These results indicated that G. lemaneiformis is the most suitable macro-algae and then followed by U. pinnatifida and P. haitanensis as the feed ingredient for L. vannamei.