Crustaceans are intensively farmed in aquaculture facilities where they are vulnerable to parasites, bacteria, or viruses, often severely compromising the rearing success. The ubiquitin-proteasome system (UPS) is crucial for the maintenance of cellular integrity. Analogous to higher vertebrates, the UPS of crustaceans may also play an important role in stress resistance and pathogen defense. We studied the general properties of the proteasome system in the hemocytes of the whiteleg shrimp, Penaeus vannamei, and the European brown shrimp Crangon crangon. The 20S proteasome was the predominant proteasome population in the hemocytes of both species. The specific activities of the trypsin-like (Try-like), chymotrypsin-like (Chy-like), and caspase-like (Cas-like) enzymes of the shrimp proteasome differed between species. P. vannamei exhibited a higher ratio of Try-like to Chy-like activities and Cas-like to Chy-like activities than C. crangon. Notably, the Chy-like activity of P. vannamei showed substrate or product inhibition at concentrations of more than 25 mmol L−1. The KM values ranged from 0.072 mmol L−1 for the Try-like activity of P. vannamei to 0.309 mmol L−1 for the Cas-like activity of C. crangon. Inhibition of the proteasome of P. vannamei by proteasome inhibitors was stronger than in C. crangon. The pH profiles were similar in both species. The Try-like, Chy-like, and Cas-like sites showed the highest activities between pH 7.5 and 8.5. The proteasomes of both species were sensitive against repeated freezing and thawing losing ~80–90% of activity. This study forms the basis for future investigations on the shrimp response against infectious diseases, and the role of the UPS therein.