Both oxidative stress and autophagy refer to regulating fat metabolism, and the former affects autophagy, but the role and mechanism of the antioxidant–autophagy axis in regulating lipid metabolism remains unclear. As an antioxidant, tea tree oil (TTO) has little research on the regulatory mechanism of lipid metabolism in crustaceans. This study investigated whether TTO could alter hepatopancreatic lipid metabolism by affecting the antioxidant–autophagy axis. Feed Macrobrachium rosenbergii with three different levels of TTO diets for 8 weeks: CT (0 mg/kg TTO), 100TTO (100 mg/kg TTO), and 1000TTO (1000 mg/kg TTO). The results showed that 100TTO treatment reduced the hemolymph lipids level and hepatopancreatic lipid deposition compared to CT. In contrast, 1000TTO treatment increased hepatopancreatic lipid deposition, damaging both morphology and function in the hepatopancreas. The 100TTO treatment promoted lipolysis and reduced liposynthesis at the transcriptional level compared to the CT group. Meanwhile, it improved the hepatopancreas antioxidant capacity and maintained mitochondrial structural and ROS homeostasis. In addition, it simultaneously activated the expression of transcription factors Keap1-Nrf2 and Imd-Relish. By contrast, the 1000TTO group significantly enhanced the ROS level, which considerably activated the Keap1-Nrf2 signaling expression but had no significant effects on the expression of Imd-Relish. The 100TTO group supplementation significantly enhanced lipid droplet breakdown and autophagy-related genes and protein expression. On the contrary, the 1000TTO group significantly inhibited the expression of genes and proteins related to autophagy. Pearson analysis revealed that Nrf2 has a positive correlation to lipid anabolism-related genes (Fasn, Srebp1, Pparγ) and autophagy regulators (mtor, akt, p62), and were negatively correlated with lipolysis-related genes (Cpt1, Hsl, Ampkα) and autophagy markers (Ulk1, Lc3). Relish was positively correlated with Atgl, Cpt1, Ampkα, Ulk1, and Lc3, and negatively correlated with Pparγ and p62. Moreover, Keap1 and Imd were negatively correlated with p62 and mtor, respectively. In sum, 100 mg/kg TTO enhanced antioxidant activity and increased autophagy intensity through the Relish-Imd pathway to enhance lipid droplet breakdown, while 1000 mg/kg TTO overexpressed Nrf2, thus inhibiting autophagy and ultimately causing excessive lipid deposition and peroxidation. Our study gives a fresh perspective for deciphering the bidirectional regulation mechanism of lipid metabolism by different doses of TTO based on the antioxidant–autophagy axis.