This study evaluated the effects of continuous exposure to the essential oil of Cymbopogon citratus (EOC) on behavioural and biochemical parameters in shrimp Litopenaeus vannamei. Adult shrimp were randomly placed in aquaria and divided into the following groups: control (pure seawater), ethanol (360 μl L−1 of ethanol) and 5 or 10 μl L−1 EOC for 6 h. Shrimp movements were recorded using a camera for 5 min at the following timepoints: 0, 1, 2, 4 and 6 h of exposure. Light sedation and behavioural changes were observed in shrimp in the 10 μl L−1 EOC group. The total antioxidant capacity against peroxyl radicals (ACAP) in the gills and hepatopancreas of shrimp exposed to 10 µl L−1 EOC was higher than control, whereas, in the muscle, it was lower in those exposed to 5 µl L−1 EOC. In the gills and hepatopancreas, reduced glutathione (GSH) was increased in the control group. Sulphhydryl groups associated with protein (P‐SH) were decreased in the gills of shrimp exposed to 10 μl L−1 EOC. Thiobarbituric acid reactive substance levels, indicative of lipid peroxidation, were higher in the gills and hepatopancreas of shrimp exposed to ethanol, which indicates ROS formation. It is concluded that EOC reduced the swimming behaviour of L. vannamei and improved their tolerance with up to 6 h of exposure.