Prostaglandin E2 (PGE2) is an eicosanoid that mediates a range of physiological actions in vertebrates and invertebrates, including reproduction and immunity. The PGE2 receptor was identified and functionally assessed in two lepidopteran insects, Manduca sexta and Spodoptera exigua. However, its binding affinity to the receptor has not been reported. The PGE2 receptor is a G‐protein coupled receptor (GPCR) although its corresponding G‐protein is not identified. PGE2 binding assays were performed with membrane preparations from hemocytes of M. sexta larvae. We recorded an optimal binding in 4 h reactions conducted at pH 7.5 with 12 nM tritium‐labeled PGE2. We found that hemocytes express a single population of PGE2 binding sites with a high affinity (Kd = 35 pmol/mg protein), which are specific and saturable. The outcomes of experiments on the influence of purine nucleotides suggested these are functional GPCRs. A bioinformatics analysis led to a proposed trimeric G‐protein in the S. exigua transcriptome, in which the Gα subunit is classified into five different types: Gα(o), Gα(q), Gα(s), Gα(12), and Gα(f). After confirming expressions of these five types in S. exigua, individual RNA interference (RNAi) treatments were applied to the larvae using gene‐specific double‐stranded RNAs. RNAi treatments specific to Gα(s) or Gα(12) gene expression significantly suppressed the cellular immune responses although the RNAi treatments specific to other three Gα components did not. While PGE2 treatments led to elevated hemocyte cAMP or Ca2+ levels, the RNAi treatments specific to Gα(s) or Gα(12) genes led to significantly reduced second messenger levels under PGE2, although the RNAi treatments specific to the other three Gα components did not. These results showed that the PGE2 receptor has high PGE2 affinity in the nanomolar range and binds G‐proteins containing a Gα(s) or Gα(12) trimeric component in S. exigua and M. sexta, and likely, all lepidopteran insects.