A 12‐week experiment was conducted to evaluate replacing fish oil (FO) in Pacific white shrimp (Litopenaeus vannamei) diets with algal meal (Schizochytrium sp. [AM]) and vegetable oils (VO: linseed oil [L] and soybean oil [S]). For this purpose, 15 aquaria (110‐L each) were arranged in an indoor rack recirculating saltwater system (salinity, 27–28 ppt) and a 2,000‐L mechanical and biological propeller‐washed bead filtration system. Juvenile shrimp (initial weight, 3.15 ± 0.01 g) were randomized into five groups of three replicates and fed one of five iso‐nitrogenous (400 g/kg crude protein) and iso‐lipidic (100 g/kg lipid) diets such as control (50 g/kg FO), FO‐AM0 (80 g/kg FO), FS‐AM1 (40 g/kg FO + 20 g/kg VO + 28.8 g/kg AM), FLS‐AM2 (20 g/kg FO + 20 g/kg VO + 58.7 g/kg AM) and LS‐AM3 (0 FO + 20 g/kg VO + 88.5 g/kg AM). No differences were found in most production performance parameters, except final body weight, which was significantly (p < 0.05) lower in the group fed diet LS‐AM3 (complete replacement of fish oil) compared with those fed diets FO‐AM0 and FLS‐AM2. Proximate and fatty acids composition were altered by the supplementation of AM and VO. Muscle and hepatopancreatic linoleic acid, linolenic acid and docosahexaenoic acid levels increased with increasing dietary AM, while eicosapentaenoic acid levels decreased. AM and VO supplementation significantly influenced the major total fatty acids in the tail muscle (MUFA, n‐6 PUFA, n‐3 PUFA and LC‐PUFA) and hepatopancreas (SFA, MUFA, LC‐PUFA and ratio of n‐3/n‐6), with higher n‐6, n‐3 and LC‐PUFAs and ratios of n‐3/n‐6 in high AM diets (LS‐AM3 and FLS‐AM2). Lipase activity increased with increasing dietary AM, whereas adipocytes decreased (p < 0.05). Significantly lower total cholesterol was measured in groups fed control and FLS‐AM2 diets compared to those fed FO‐AM0 and LS‐AM3. Algal meal could replace FO up to 75% and play an important role as a source of essential fatty acids in shrimp diets without compromising growth and health.