In this study, we explored the gene expression profiles in Apostichopus japonicus under continuous heat stress (6h, 48h and 192h) by applying RNA-seq technique. A total of 676, 1010 and 1083 differentially expressed genes were detected at three heat stress groups respectively, which suggested complex regulation of various biological processes. Then we focused on the changing of immune system under HS in sea cucumbers. Key immune-associated genes were involved in heat stress response, which were classified into six groups: heat shock proteins, transferrin superfamily members, effector genes, proteases, complement system, and pattern recognition receptors and signaling. Moreover, the mRNA expression of the immune-associated genes were validated by the real time PCR. Our results showed that an immunological strategy in this species was developed to confront abrupt elevated temperatures in the environment.