Senegalese sole (Solea senegalensis) has been proposed as a high-potential species for aquaculture diversification in Southern Europe. It has been demonstrated that a proper feeding regimen during the first life stages influences larval growth and survival, as well as fry and juvenile quality. The bacterial strain Shewanella putrefaciens Pdp11 (SpPdp11) has shown very good probiotic properties in Senegalese sole, but information is scarce about its effect in the earliest stages of sole development. Thus, the aim of this study was to investigate the effect of SpPdp11, bioencapsulated in live diet, administered during metamorphosis (10–21 dph) or from the first exogenous feeding of Senegalese sole (2–21 dph). To evaluate the persistence of the probiotic effect, we sampled sole specimens from metamorphosis until the end of weaning (from 23 to 73 dph). This study demonstrated that probiotic administration from the first exogenous feeding produced beneficial effects on Senegalese sole larval development, given that specimens fed this diet exhibited higher and less dispersed weight, as well as increases in both total protein concentration and alkaline phosphatase activity, and in non-specific immune response. Moreover, real-time PCR documented changes in the expression of a set of genes involved in central metabolic functions including genes related to growth, genes coding for proteases (including several digestive enzymes), and genes implicated in the response to stress and in immunity. Overall, these results support the application of SpPdp11 in the first life stages of S. senegalensis as an effective tool with the clear potential to benefit sole aquaculture.