Holothuria scabra is the most valued and cultured tropical sea cucumber, given the great demand of this species for human consumption. However, despite its ecological and economic relevance, little is known regarding its immune responses under thermal stress. Here, the main goal was to study the response of sea cucumbers to temperature stress, assessing sub-organismal alterations and acclimation capacities of juveniles to temperature changes. After changing temperature (1 °C/day) for 6 days, organisms were exposed to temperature conditions of 21 °C (cold), 27 °C (control), and 33 °C (warm) over a 30 day period. At each 15-day interval (T0, T15, and T30), six replicates per condition were killed for biochemical analysis. Immune responses were addressed by studying the activity of phenoloxidase(PO) and prophenoloxidase (ProPO) in the coelomic fluid. Antioxidant defence responses—catalase (CAT), superoxide dismutase (SOD), and glutathione reductase (GR) enzymatic activities—were measured in the muscle and respiratory tree tissues, whereas oxidative damage was evaluated by measuring levels of superoxide radicals (ROS), DNA-strand breaks and lipid peroxidation (LPO). Juvenile H. scabra increased SOD and PO activities when temperature was elevated, and revealed low levels of ROS and damage in both cold and warm treatments throughout the experiment, confirming the organism’s moderate thermal stress. After the short acclimation period, the immune and antioxidant responses prevented damage and maintained homeostasis. This multi-biomarker approach highlights its usefulness to monitor the health of H. scabra and to gain insight concerning the use of this high-valued species in global-scale aquaculture from different temperature regions.