The effects of a dietary soy protein concentrate (SPC) as a fish meal (FM) substitute, on selected innate immune responses, the oxidative status, hepatic and intestinal morphology of gilthead sea bream, Sparus aurata, were evaluated after a three-month feeding trial. Isonitrogenous (45% crude protein) and isoenergetic (23 kJ/g gross energy) diets with 20% (SPC20), 40% (SPC40) and 60% (SPC60) of SPC inclusion, supplemented with methionine and phosphate, were evaluated against a diet containing FM as the sole protein source. Diets were allocated in triplicate groups of 26-g fish (8 kg m−3/tank) and administered for three months. Immune responses were evaluated by performing immunological assays in blood (respiratory burst activity) and serum (myeloperoxidase content, bacteriolytic and lysozyme activity), as well as by gene expression analysis of immune-associated genes (MHCIIα, β2m, CSF-1R, NCCRP-1, TGF-β1, HSP70) in the head kidney and distal intestine. In addition, oxidative stress was evaluated by measuring the activity of liver enzymes associated with the antioxidant system. The respiratory burst activity of blood was significantly decreased in the SPC40 group, while serum myeloperoxidase content and bacteriolytic and lysozyme activities were affected. Significantly higher expression levels of NCCRP-1 and HSP70 were found in SPC60 head kidneys, while increased intestinal MHCIIα and NCCRP-1 transcripts were observed in SPC40. Hepatic antioxidant enzyme activity of glutathione reductase and glutathione-S-transferase was significantly enhanced in the SPC40 and SPC60 groups, while superoxide dismutase activity was increased only in the SPC40 group. Moreover, increased lipid accumulation in the enterocytes of the distal intestine was observed in the SPC60 group. Overall, a three-month feeding period with diets over 40% of dietary SPC inclusion as a FM substitute, indicated increases on immune and antioxidant enzyme responses, suggesting the dietary SPC levels that gilthead sea bream can tolerate.