Shrimps are an important resource in coastal lagoons because they use these ecosystems for their development. Although some authors classified the Penaeidae as detritivores, it was shown that their diet comprises a greater variety of food items. Many authors had reported that shrimps have a diversified diet that includes several elements of the benthic community. This review describes the feeding ecology of the shrimps in coastal lagoon-estuarine systems, with emphasis on the following: the effect of the environment on the shrimps’ natural food; techniques for identification of items in shrimps gut contents and stable isotope compositions; consideration of the importance of plants and small animals in the diet; and the effect of mangroves and lagoon-estuarine system on feed ecology. The abundance of penaeid appears to be primarily affected by stochastic variations in environmental factors. However, it has been found that the relationships between macroinfauna, macrofauna and environmental conditions in a tropical estuary may result in more interactions with their predators than a direct response to physical-chemical factors. The combination of the study of shrimps guts contents and stable isotopes shows a composition and seasonal variation in the diets, as well as the source of carbon and nitrogen contained in the shrimp’s tissues. In general, the studies suggest that herbaceous detrital inputs to the food web are dominant in supporting shrimps in salt marshes, but phytoplankton or benthic algae may be equally or more important food sources.