The giant river prawn Macrobrachium rosenbergii is an important aquaculture prawn, showing sexual dimorphism in growth, with males growing much faster than females. However, the mechanisms controlling these complex traits are not yet well understood. The nervous system plays an important role in regulating life functions. This study aimed to obtain and characterize the full-length transcriptomes of brain and ganglion in female and male prawns by PacBio RNA sequencing. Based on the result of PacBio sequencing, transcript’s functional annotation, transcript factors, and simple sequence repeat analysis, long non-coding RNAs (LncRNAs) and transposable element predictions were accomplished. Total 159.1-Gb subreads were obtained and average length was 2,175 bp, with 93.2% completeness. After clustering and polishing, 84,627 high quality unigene sequences were produced and annotated by functional databases. 6,367 transcript factors and 6,287 LncRNAs were predicted. Illumina sequencing of brains and ganglia extracted from female and male prawns was carried out. A significant number of differentially expressed genes (DEGs) were found and confirmed by qRT-PCR analysis. Of the related 435 genes in protein processing pathways in the endoplasmic reticula, compared to females, 42 DEGs were detected, and 21/26 DEGs with up-regulated expression in male prawn brain/ganglion. DEGs in this pathway are likely to be regulated by multiple LncRNAs in polypeptide folding and misfolded protein degradation in the different organs and sexes of the prawn. Our study lays a foundation for understanding the growth dimorphism controlled by nervous system, and is a valuable resource for sex-controlled breeding of prawns in the future.