Dietary additives have the potential to stimulate the whiteleg shrimp immune system, but information is scarce on their use in diets for larval/post-larval stages. The potential beneficial effects of vitamins C and E, β-glucans, taurine, and methionine were evaluated. Four experimental microdiets were tested: a positive control diet (PC); the PC with decreased levels of vitamin C and E as negative control (NC); the PC with increased taurine and methionine levels (T + M); and the PC supplemented with β-glucans (BG). No changes in growth performance and survival were observed. However, post-larvae shrimp fed the NC had lower relative expressions of pen-3 than those fed the PC, suggesting that lower levels of vitamins C and E may impact the shrimp immune status. Lipid peroxidation levels dropped significantly in the BG compared to the PC, indicating that β-glucans improved the post-larvae antioxidant mechanisms. Furthermore, when compared with the NC diet, PL fed with BG showed significant increases in tGSH levels and in the relative expression of crus and pen-3, suggesting a synergistic effect between vitamins C and E and β-glucans. Amongst the additives tested, β-glucans seems to be the most promising even when compared to a high-quality control diet.