Penaeus monodon (mean initial wet weight 1·19 (se 0·01) g) were fed seven diets in triplicate: a control diet (D1) without carotenoids; three diets formulated to supply 0·1 % astaxanthin alone (D2), 0·2 % astaxanthin alone (D3), and a combination of 0·1 % astaxanthin and 1 % cholesterol (D4); three diets with 0·07 % canthaxanthin alone (D5), 0·13 % canthaxanthin alone (D6), and a combination of 0·07 % canthaxanthin and 1 % cholesterol (D7). Weight gain (WG, %), specific growth rate (SGR, %/d) and survival were chosen as parameters of shrimp growth performance. Total antioxidant status (TAS), superoxide dismutase (SOD), aspartate aminotransferase (AST) and alanine aminotransferase (ALT) were chosen as indices of shrimp plasma antioxidant capacity. Meanwhile, digestibility, retention efficiency and tissue carotenoids were also investigated to determine the additive effect of cholesterol on the efficiency of astaxanthin and canthaxanthin. After 74 d rearing, WG and SGR of shrimp fed D2–D4 and D7 were higher than those of shrimp fed D1 (P < 0·05). Shrimp fed D4 had the highest survival. The apparent digestibility coefficients (ADC) of astaxanthin in D2–D4 were higher than those of canthaxanthin in D5–D7 (P < 0·05). Although ADC of astaxanthin were quite high (>98 %) in D2–D4 and no differences were found among them (P>0·05), the carotenoid retention efficiencies in the whole body, muscle and shell (D2–D3 treatments) were considerably low; however, cholesterol supplementation significantly improved the carotenoid retention efficiencies in the whole body, muscle and shell (D4 treatment). Accordingly, the addition of cholesterol also significantly enhanced the carotenoid contents of tissues. Shrimp fed supplemented carotenoid diets (D2–D7) had higher TAS and lower SOD, ALT and AST than shrimp fed D1 (P < 0·05). A low dissolved oxygen stress test was conducted for 7 d after the rearing trial and shrimp survival was also compared among the treatments. The survival of shrimp fed the diets supplemented with astaxanthin or canthaxanthin was higher than that of shrimp fed D1 during the stress test (P < 0·05). In conclusion, all data suggested that astaxanthin was better than canthaxanthin as the dietary carotenoid source in the commercial diet of P. monodon, and the supplement of cholesterol could positively enhance the efficiency of astaxanthin and canthaxanthin.