A 60‐day feeding experiment was performed to investigate the survival, growth, body composition, antioxidant capacity and related gene expression of Eriocheir sinensis which were fed diets with different lipid sources under three salinities. Five feeds were formulated with one of the candidate oils (fish oil, soybean oil, linseed oil, colza oil or palm oil) and were named FO, SO, LO, CO or PO respectively. Results showed that the survival rate (SR) of E. sinensis showed a decreasing tendency as the salinity increased. But SR was not significantly affected by dietary lipid sources at each salinity. Weight gain rate (WGR) were highest in the treatment of FO/PO at a salinity of 0.5‰, CO/FO/SO at a salinity of 2‰ and LO at a salinity of 6‰ respectively. At salinities of 0.5‰ and 2‰, the transcription of pro‐inflammatory and antioxidant genes in LO was significantly higher than that in FO or PO. While at a salinity of 6‰, the transcription of detected genes in FO was markedly increased compared to that in the vegetable oil treatments. At each salinity, the eicosapentaenoic acid (EPA) contents showed comparable values among different dietary treatments. However, the docosahexaenoic acid (DHA) contents in E. sinensis fed the diets with FO were still significantly higher than those with vegetable oils. These results showed that increasing salinity decreased the antioxidant capacity and therefore negatively affected the survival and growth rates of experimental animals. The beneficial effects of FO on survival and growth performance were eliminated by increasing the salinity to 6‰, which could be due to the increased lipid peroxidation and inflammatory response caused by salinity stress. It was concluded that at the salinity of 0.5‰ and 2‰, the recommended lipid sources were FO/PO and CO/FO/SO respectively. While at the salinity of 6‰, LO was the most ideal lipid source for juvenile E. sinensis.