Antarctic krill oil has been proven to be able to promote the ovarian development of crustaceans, but its optimal application dose and potential regulatory mechanism in Macrobrachium rosenbergii are still unclear. In this study, five isonitrogenous and isolipidic diets with gradient additions of Antarctic krill oil (0%, 1.5%, 3%, 4.5%, and 6%) were served exposed to 8 weeks of feeding. The results show that 3–4.5% Antarctic krill oil supplementation significantly increases the weight gain rate and specific growth rate of M. rosenbergii (p < 0.05). In addition, 3–4.5% Antarctic krill oil supplementation significantly increased the content of hemolymph vitellogenin (VTG) and the levels of reproductive hormones, including methyl farnesoate (MF), estradiol (E2), and progesterone (P4) (p < 0.05). The differences in ovarian index, oocyte volume, yolk granule deposition in oocytes, and the transcription levels of VTG genes in hepatopancreas and ovarian tissues demonstrated that the addition of Antarctic krill oil significantly promoted ovarian development and vitellogenesis, especially at the 4.5% addition level. In terms of molecular signaling, this study confirms that the retinol metabolic signaling pathway, MF signaling pathway, steroid hormone signaling pathway, and ecdysone signaling pathway, along with their specific molecules, such as Farnesoic acid-O-methyltransferase (FAMeT), retinoid x receptor (RXR), ecdysone receptor (EcR), and estrogen-related receptor (ERR), are involved in the regulation of the ovarian development of M. rosenbergii by adding Antarctic krill oil at appropriate doses. The findings indicate that the supplementation of 4.5% Antarctic krill oil in the diet is optimal for stimulating the secretion of reproductive hormones in female M. rosenbergii, thereby promoting vitellogenesis and ovarian development.