The present study evaluated the effects of exposure (28 days) to a sub-lethal concentration of cadmium (Cd) (0.65 mg CdCl2 L−1) on the immune responses and expression of immune-related and heat shock protein (HSP) genes in Labeo rohita, an important aquacultured fish species. Among the immune parameters studied, significantly lower lysozyme activity was observed in fish 28 days post-exposure (dpe) to Cd as compared to control fish. Alternative complement pathway activity was slightly higher in the Cd-exposed group at 2 dpe than in controls, and this activity declined gradually thereafter. The phagocytic activity and serum immunoglobulin M (IgM) levels were insignificantly lower in the Cd-exposed group at all assessed time points than in controls. Among serum enzymatic activities, peroxidase activity was always higher in the Cd-exposed group than in controls, but the increase was insignificant at all assessed time points. Additionally, serum glutamic–pyruvic transaminase and alkaline phosphatase activities were significantly higher in the Cd-exposed group at 14 and 28 dpe. Immune and HSP gene expression patterns were observed in kidney and liver tissues, respectively, by RT-PCR, and HSPs were further analysed by immunoblotting. Cd had an immunosuppressive effect, leading to down-regulation of TNF-α, IL-1β, IL-10, and IFN-γ. However, Cd exposure led to the up-regulation of HSP47, HSP60, HSP70, HSP78, and HSP90, indicating Cd-induced cellular stress. Taken together, the results of this study demonstrate the immunotoxic effect of Cd. Cd exposure makes Labeo rohita immunocompromised, and this could subsequently increase the disease susceptibility of Labeo rohita.