Shrimps are one of the most important cultures in aquaculture with an estimated production of around 4.5 million MT, that is constantly growing. This fact entails the necessity to increase aquafeed production to meet demand. As in other aquaculture species, fishmeal (FM) is the main protein source used in shrimp feeding. In this context, the current review summarises several innovative protein sources for shrimp nutrition, focusing primarily on those sources that are less commercialised including fishery by‐products, terrestrial animal by‐products, single‐cell proteins, grain legumes, plant protein concentrates and cereal by‐products, with emphasis placed on novel raw materials in experimental phase: algae, insect meal or biofloc. Nutritive values, inclusion levels and constraints are discussed.