Grey mullet (Mugil cephalus) is an economically important fish species in Taiwan mariculture industry. Moreover, grey mullet are common hosts of a bacterial infection by Lactococcus garvieae. However, until now the information related to the immune system of grey mullet is unclear. Therefore, to understand the molecular basis underlying the host immune response to L. garvieae infection, Illumina HiSeq™ 2000 was used to analyse the head kidney and spleen transcriptome of infected grey mullet. De novo assembly of paired-end reads yielded 55,203 unigenes. Comparative analysis of the expression profiles between bacterial challenge fish and control fish identified a total of 7192 from head kidney and 7280 in spleen differentially expressed genes (P < 0.05), including 4211 upregulated genes and 2981 downregulated genes in head kidney, while in spleen 3598 genes were upregulated and 3682 downregulated. A significant enrichment analysis of these differentially expressed genes (DEG) in spleen and head kidney revealed major immune-related pathways, including complement and coagulation cascades, Toll-like receptor signalling, and antigen processing and presentation. Moreover, selected DEGs were validated using qPCR. Altogether, the results obtained on immune-related genes may allow for a better understanding of immunity in grey mullet to Lactococcus garvieae, carrying out detailed functional analysis of these genes and developing strategies for efficient immune protection against infections in grey mullet.