By a random process with immigration at random times we mean a shot noise process with a random response function (response process) in which shots occur at arbitrary random times. Such random processes generalize random processes with immigration at the epochs of a renewal process which were introduced in Iksanov et al. (2017) and bear a strong resemblance to a random characteristic in general branching processes and the counting process in a fixed generation of a branching random walk generated by a general point process. We provide sufficient conditions which ensure weak convergence of finite-dimensional distributions of these processes to certain Gaussian processes. Our main result is specialised to several particular instances of random times and response processes.
