The best enzymatic protease treatment of shrimp shells was identified by comparing the enzymatic hydrolysis effects of many different types of biological enzymes using fresh Arctic sweet shrimp as raw materials. The optimal enzymolysis conditions were determined using neutral protease as the best enzymatic protease. Among multiple macroporous adsorption resins, XDA-8 macroporous adsorption resin was preferable due to its static adsorption rate and desorption rate. The yield of astaxanthin (134.20 μg/g) after treatment with neutral protease was 3.7 times higher than that of the control group (36.03 μg/g). The yield of astaxanthin was obviously improved after enzymolysis of the shrimp shells. The purity of the astaxanthin was up to 87.34%, approximately 6508 times higher than that of the raw material. The production cost of astaxanthin would be greatly reduced by use of XDA-8 resin to obtain high-purity astaxanthin. This technique offers a high value-added utilization of shrimp shells.