Fenneropenaeus chinensis is one of the most commercially important cultured shrimps in China. It belongs to the family Penaeidae of Crustacea. F. chinensis exhibits a significant sexual dimorphism, the color of adult female shrimps tends to be blue, while the males tend to yellow, and the females were noticeably bigger in body size than males. However, no sex-determining region has been reported. A closely related species, Pacific white shrimp, Litopenaeus vannamei, which also belongs to the Penaeus, has been completely sequenced, and an assembled genome of F. chinensis was published recently, which accelerated the progress of genome research on shrimp culture. Sex-differentiation study has been carried out only in recent years, and this study aspires to screening out the potential sex-linked regions on the genome of F. chinensis. A total of 11 male and 10 female F. chinensis shrimps at 4-months-old were picked randomly, and the DNA samples of these 21 shrimps were extracted from muscle and sequenced using the BGISEQ platform individually. 104.5 Gb clean data of female and 115.4 Gb clean data of male were obtained, and the reference genome of F. chinensis (assembly ASM1692082v1) and L. vannamei (assembly ASM378908v1) were both used. The mapped result was used to evaluate the genetic differentiation between two sexes across the genome, and fixation index (F_st) was calculated across the genome. According to the results using reference genome of F. chinensis, there were many disorderly peaks of F_st on the genome, and the F_st value showed an overall increasing trend on LG5. According to the results using reference genome of L. vannamei, there were 2 most significant peaks located on scaffold 2550 (Accession: NW_020870010.1) and scaffold 3683 (Accession: NW_020871268.1), respectively. Many variants were found showing genetic differentiation between the two sexes. The 2 peaks of the F_st value on 2 scaffolds indicate that the corresponding regions on the genome of F. chinensis may be responsible for sex differentiation. RNA-seq data of gonad and muscle of female and male F. chinensis shrimps at 5-months-old were aligned to the reference genome of L. vannamei to obtain the expression information of genes on these two scaffolds. On scaffold 2550, two genes expressed differentially in muscle, while three genes expressed differentially in gonad. On scaffold 3683, no DEG was found in muscle. Four DEGs were filtered out in gonad, all of which had higher expression levels in males. Coincidentally, they all located on the range of F_st peak. Two DEGs encoded peripheral-type benzodiazepine receptor-associated protein 1, which is a key factor in steroid hormone biosynthesis. The peripheral-type benzodiazepine receptor was detected in many peripheral tissues but showed uniquely high densities in the adrenal cortex and in Leydig cells of the testes. Therefore, it is speculated that these male-biased expression genes were involved in the sex-specific physiological mechanism of male shrimps and participated in the sex differentiation of F. chinensis. In this study, we preliminarily located the sex-linked regions in genome of F. chinensis and filtered candidate genes related to the sex differentiation. The study provides a basis for further research of sexual dimorphism in F. chinensis.