Entomopathogenic fungi are the key regulators of insect populations and some of them are important biological agents used in integrated pest management strategies. Compared with their ability to become resistant to insecticides, insect pests do not easily become resistant to the infection by entomopathogenic fungi. In this study, we evaluated the mortality and immune response of the serious crop pest Locusta migratoria manilensis after exposure to a new entomopathogenic fungus strain, Metarhizium anisopliae CQMa421. M. anisopliae CQMa421 could effectively infect and kill the L. migratoria adults and nymphs. The locust LT50 under 1 × 108 conidia/mL concentration of M. anisopliae was much lower than that under conidial concentration 1 × 105 conidia/mL (i.e., 6.0 vs. 11.2 and 5.0 vs. 13.8 for adults and nymphs, respectively). The LC50 (log10) of M. anisopliae against locust adults and nymphs after 10 days was 5.2 and 5.6, respectively. Although the number of hemocytes in L. migratoria after exposure to M. anisopliae did not differ with that in the controls, the enzymatic activity of superoxide dismutase (SOD) and prophenoloxidase (ProPO) did differ between the two treatments. The activities of both SOD and ProPO under the M. anisopliae treatment were lower than that in the controls, except for the ProPO activity at 72 h and the SOD activity at 96 h. Further, the expression of the L. migratoria immune-related genes defensin, spaetzle, and attacin differed after exposure to M. anisopliae for 24 h to 96 h. Taken together, this study indicated that infection with M. anisopliae CQMa421 could cause the death of L. migratoria by interacting with the immune responses of the host, demonstrating that this fungal strain of M. anisopliae can be an efficient biocontrol agent against L. migratoria.