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The Janus kinase (JAK) signal transducer and activator of transcription (STAT) pathway has been shown to govern various physiological processes, including immune responses, hematopoiesis, cell growth, and differentiation. Recent studies show that suppressors of cytokine signaling (SOCS) proteins attenuate JAK-STAT signaling in mammals; however, their functions are less clear in lepidopteran insects. Here, we report a full-length sequence of SOCS-2 from the Chinese oak silkworm <i>Antheraea pernyi</i> (designated as <i>ApSOCS-2</i>) and study its biological role in immune responses via the JAK-STAT pathway. <i>ApSOCS-2</i> expression was high in the fat bodies and hemocytes of <i>A. pernyi</i> fifth instar larvae. After pathogen infection with nucleopolyhedrovirus, <i>Beauveria bassiana, Escherichia coli</i>, and <i>Microccus luteus</i>, <i>ApSOCS-2</i> mRNA was strongly increased compared to the control group. To elucidate the possible involvement in innate immunity, we measured antimicrobial peptide genes expression profiles in the fat body of <i>A. pernyi</i>. In contrast, recombinant ApSOCS-2 protein administration significantly reduced the AMPs transcription, while the depletion of <i>ApSOCS-2</i> by RNAi increased their expression. Furthermore, we observed higher antibacterial activity and lower bacterial replication in <i>dsApSOCS-2</i>-treated larvae. The <i>ApSOCS-2</i> transcription level was reduced in STAT depleted <i>A. pernyi</i> larvae challenged by <i>M. luteus</i>. The <i>ApSOCS-2</i> RNAi data sets were also subjected to transcriptomic analysis, which suggests that <i>ApSOCS-2</i> is a key regulator of immune function. Taken together, our data suggest that <i>ApSOCS-2</i> is required for the negative regulation of AMPs transcripts via the JAK-STAT pathway in the insect.