Pandalus hypsinotus (P. hypsinotus), also known as coonstripe shrimp, has high economic value and is widely distributed in Alaska, the Bering Sea, and the East Sea of Korea. Owing to the low catch and spatial distribution of patches, transcriptome-based studies of coonstripe shrimp are extremely limited. Transcriptome analyses using PacBio iso-seq and Illumina RNA sequencing techniques were performed to establish a de novo unigene set of P. hypsinotus and identify differentially expressed genes (DEGs) in the hepatopancreas compared to the muscle. A search of all the unigenes against Gene ontology (GO), KEGG, Pfam, BlastN, and UniProt resulted in 46,703 annotated unigenes. A comparison of the sequences in the two tissue-derived libraries revealed 9,429 DEGs in the hepatopancreas. We also investigated the small RNAomes of p. hypsinotus using the Illumina small RNA sequencing technology. The identified 150 microRNA (miRNA) candidates were classified into 42 orthologous and 98 novel miRNAs using BLASTX and miRBase. Through analyses of gene ontology and direct interactions between miRNAs and genes, differentially expressed miRNAs (DEMs) and DEGs related to immune responses have shown regulatory relationships based on their sequences. These findings serve as a valuable resource for future studies focusing on novel gene detection, gene mapping, and several biological pathways that can be modulated by miRNAs unique to P. hypsinotus.