A system and method can support asynchronous message processing in a distributed data grid. A cluster node in the distributed data grid can provide a message processor running on a message processing thread. The message processor can receive a request to process an incoming message from a service thread, wherein the request is associated with a continuation data structure. Then, the message processor can wrap the continuation data structure in a return message after processing the incoming message, and forward the return message to a service queue that is associated with the service thread.