Astaxanthin (Axn) is an essential carotenoid for crustacean pigmentation, and docosahexaenoic acid (DHA) is an important fatty acid; both play key roles in maintaining the health of many aquaculture species. The present study explored the combined effect of dietary Axn and DHA on gonadal development and carotenoid deposition in adult females of the Chinese mitten crab, Eriocheir sinensis. A
2
×
3
factorial design of experimental diets was created to contain two levels of Axn (0 mg/kg and 100 mg/kg) and three levels of DHA oil (0%, 0.33%, and 0.67%). The results showed as follows: (1) For the culture performance, dietary DHA oil significantly increased the gonadosomatic index (GSI), and Diet 2 (Axn 0% + DHA oil 0.33%) had the highest GSI among all treatments. (2) For the enzymatic indicators in the hepatopancreas and hemolymph, supplementation with 0.33% DHA oil significantly improved the antioxidant capacity (T-AOC and MDA), immunity (AKP and ACP), and health status (e.g., GPT and GOT) of E. sinensis. (3) Supplementation with 100 mg/kg Axn significantly increased redness (a
∗
) and Axn concentration in both the ovaries and hepatopancreas, and supplementation with 0.33% or 0.67% DHA oil produced a further significant improvement in Axn concentration when the diets were supplemented with 100 mg/kg of Axn. (4) As for proximate composition, dietary Axn and DHA significantly increased the deposition of total lipids and triacylglycerol in the hepatopancreas. As expected, the crabs fed diets with DHA supplementation showed an increase in the DHA percentage and DHA/EPA ratio in the ovaries and hepatopancreas. In conclusion, dietary Axn and DHA oil had positive effects on ovarian development in E. sinensis females. The optimal combination of dietary Axn and DHA oil was determined to be approximately 100 mg/kg and 0.33%, respectively, for this species during ovarian maturation.