The body color of Neocaridina denticulate sinensis is a compelling phenotypic trait, in which a cascade of carotenoid metabolic processes plays an important role. The study was conducted to compare the transcriptome of cephalothoraxes among three pigmentation phenotypes (red, blue, and chocolate) of N. denticulate sinensis. The purpose of this study was to explore the candidate genes associated with different colors of N. denticulate sinensis. Nine cDNA libraries in three groups were constructed from the cephalothoraxes of shrimps. After assembly, 75022 unigenes were obtained in total with an average length of 1026 bp and N50 length of 1876 bp. There were 45977, 25284, 23605, 21913 unigenes annotated in the Nr, Swissport, KOG, and KEGG databases, respectively. Differential expression analysis revealed that there were 829, 554, and 3194 differentially expressed genes (DEGs) in RD vs BL, RD vs CH, and BL vs CH, respectively. These DEGs may play roles in the absorption, transport, and metabolism of carotenoids. We also emphasized that electron transfer across the inner mitochondrial membrane (IMM) is a key process in pigment metabolism. In addition, a total of 6328 simple sequence repeats (SSRs) were also detected in N. denticulate sinensis. The results laid a solid foundation for further research on the molecular mechanism of skin pigmentation in the crustacean and contributed to developing more attractive aquatic animals.