In this study, we generated the whole transcriptome of Penaeus penicillatus from four combined tissues (eyestalk, muscle, intestinal and viscus) using High-seq sequencing technology. A total of 65,703,216 high-quality clean reads were generated to produce 27,850 non-redundant transcripts with a mean length of 918 nt using Trinity and Tgicl software. For homological alignment, 13,083 unigenes had significant hits in Nr database. And then, 10,467 unigenes were annotated into three ontologies: biological processes, cellular components, and molecular functions. Moreover, 18,621 unigenes were mapped 25 different clusters of eukaryotic proteins. In addition, a total of 17,671 unigenes were classified into 311 KEGG pathways. Finally, we predicted the coding sequences of 13,072 unigenes and obtained 9,222 SSRs in the present study. The whole transcriptome is an important foundation for future genomic research on the P. penicillatus and can provide comprehensively understanding and further characterizations of transcriptomes of non-model organisms.