The influence of protein and energy levels on growth rate, survival, pre‐ and post‐prandial oxygen consumption, ammonia excretion, haemolymph glucose (HG), glycogen in digestive gland and osmotic pressure (OP) in white shrimp Litopenaeus vannamei (Boone) and L. setiferus (Linne) juveniles was studied. Diets containing a high‐quality protein at a protein/energy (P/E) ratio of 16, 26, 31 and 36 mg kJ−1 were fed at 20% of shrimp body weight of two sizes: < 1 g and > 1 g. Both species showed a optimum P/E ratio of 36 mg kJ−1 (33–44% protein and 6–23% carbohydrate) in juveniles < 1 g. For shrimp > 1 g, L. setiferus showed a higher growth rate in the diet with 16 mg kJ−1 (27% protein; 32% carbohydrate) and L. vannamei between 26 and 36 mg kJ−1 (33–44% protein and 6–23% carbohydrate). In both experiments, the growth rate of L. vannamei was 2–3 times that observed in L. setiferus. Routine oxygen consumption and apparent heat increment (AHI) of L. setiferus juveniles was two times higher than that observed in L. vannamei juveniles, which could indicate that L. setiferus has a higher metabolic rate. The O/N ratio varied according to protein level, with higher values (O/N = 180) with a 16‐mg kJ−1 diet and lower values (O/N = 73) with a 36‐mg kJ−1 diet in L. setiferus juveniles. A similar variation in O/N ratio was obtained in L. vannamei fed with all diets with an interval between 22 and 50. An inverse relation between ammonia excretion and HG, and digestive gland glycogen (DGG) in relation to an increase in the P/E ratio indicate that both shrimp species are well adapted to use carbohydrates and/or proteins from their diet. The higher values of hyper‐osmotic capacity (hyper‐OC) were observed in L. setiferus < 1 g fed with 36 mg kJ−1 and the lowest in L. vannamei < 1 g fed with 31 mg kJ−1. Intermediate values of hyper‐OC were observed in both species fed all diets indicating that osmotic factors of juveniles < 1 g of both species are more affected by the P/E ratio than juveniles > 1 g. All results showed that juveniles > 1 g of both species are less dependent of P/E ratio than juveniles < 1 g. Litopenaeus vannamei is a most tolerant shrimp species with a high capacity to use a wide range of dietary P/E ratios for growth, which may be due to its lower energy requirements. Litopenaeus setiferus showed a lower capacity to accept different P/E ratios but the optimum P/E ratio obtained with this species shows that L. setiferus accept diets with a high carbohydrate level as well. These results demonstrate that there are nutritional and physiological differences that explain the differences that have been observed when both species were cultured in commercial ponds.