Skin ulceration syndrome (SUS) was the main limitation in the development of Apostichopus japonicus culture industries. To better understand how Vibrio splendidus modulates SUS outbreak, the immune response of A. japonicus coelomocytes after the pathogen challenge were investigated through comparative proteomics approach, and differentially expressed proteins were screened and characterized in the present study. A total of 40 protein spots representing 30 entries were identified at 24, 72 and 96 h post-infection. Of these proteins, 32 were up-regulated and 8 were down-regulated in the V. splendidus challenged samples compared to those of control. These differentially expressed proteins were mainly classified into four categories by GO analysis, in which approximate 33% of proteins showed to be related to immunity response. The mRNA expression levels of 6 differentially expressed proteins were further validated by qRT-PCR. Similar protein-mRNA-level expression patterns were detected in genes of phospholipase (spot 4), G protein (spot 20), annexin (spot 30) and filamin (spot 31). Whilst the levels of ficolin (spot 12) and calumenin (spot 14) transcripts were not corresponded with those of their translation products. These data provide a new insight to understand the molecular immune mechanism of sea cucumber responsive towards pathogen infection.