The yellow catfish, Pelteobagrus fulvidraco (Siluriformes: Bagridae) is an economically important fish in China. However, genomic research and resources on this species are largely unavailable and still in infancy. In the present study, we constructed a cDNA library following poly I:C injection to screen for immune response genes in the spleens of P. fulvidraco using suppression subtractive hybridization (SSH). A total of 420 putative expressed sequence tag (EST) clones were identified at 24 h post-injection, which contain 103 genes consisting of 25 immune response genes, 12 cytoskeleton genes, 7 cell cycle and apoptosis genes, 7 respiration and energy metabolism genes, 7 transport genes, 26 metabolism genes, 10 stress response genes, 9 translational regulation genes, and 71 unknown genes. Real-time quantitative reverse transcription-PCR (qRT-PCR) results revealed that a set of randomly selected immune response genes were identified to be up-regulated after 24 h of poly I:C stimulation compared to controls. Our study provides an annotation of immune genes in detail and insight into fish immunity.