Prostaglandins (PGs) mediate insect immune responses. However, their biosynthesis in insects is little understood due to lack of cyclooxygenase (COX) ortholog. This study aimed to identify PG-biosynthetic factor(s) in Spodoptera exigua, which has been a well-known insect in possessing immune responses mediated via PGs. Peroxidases (POXs) are a sister group of COX genes. Ten putative POXs (POX-A ∼POX-J) were expressed in S. exigua. Especially, expressions of POX-F and POX-H were inducible to bacterial challenge and expressed in hemocytes and fat body. Individual RNA interference (RNAi) of each of ten POXs was performed by hemocoelic injection of their specific double-strnaded RNAs (dsRNAs). Only RNAi of POX-F or POX-H specifically suppressed hemocyte-spreading behavior and nodule formation. Addition of PGE2 significantly nescued the immunosuppression in either dsRNA treatment of POX-F or POX-H. Structural analysis indicated that both POX-F and POX-H have conserved domain and residues corresponding to peroxinectin of Drosophila melanogaster, which mimics COX-like activity. These results suggest that POX-E and POX-H are involved in PG biosynthesis in S. exigua.