The bivalve Mizuhopecten yessoensis has been greatly impacted by marine pollutants in northern China. To elucidate the toxicological mechanism of copper exposure on the immune system, we investigated differentially expressed genes (DEGs) and transcript abundance in M. yessoensis gill tissue using the deep-sequencing platform Illumina HiSeq™ 2000. In total, 1312 and 2237 genes were identified as significantly up- or down-regulated, respectively. In addition, significant enrichment analysis identified 9 GO terms and 38 pathways involved in the response to copper exposure. The analysis of immune-related transcripts revealed a complex repertoire of innate recognition receptors, including toll-like receptors, NOD-like receptors and RIG-like receptors. Downstream pathway effectors, such as apoptotic, lysosomal and C-type lectin transcripts, were also analyzed. These results will provide a resource for subsequent gene expression studies regarding heavy metal exposure and the identification of copper-sensitive biomarkers to monitor the aquaculture of M. yessoensis.