The purpose of the trial was to study the impact of a 6‐mo dietary administration of soybean protein on growth, liver and intestine morphology, immune response, and oxidative stress in gilthead sea bream. The immune response was evaluated by performing immunological assays in blood, head kidney (HK), or serum (respiratory burst activity [RBA], myeloperoxidase content and bacteriolytic activity) and gene expression analysis of immune‐associated genes (MHCIIα [major histocompatibility complex IIα], β2m [β‐2‐microglobulin], CSF‐1R [colony‐stimulating factor‐1 receptor], NCCRP‐1 [nonspecific cytotoxic cell receptor protein 1], TGF‐β1 [transforming growth factor beta‐1], and HSP70 [heat‐shock protein 70]) in HK and intestine. Oxidative stress was evaluated by measuring the activity of liver enzymes associated with antioxidant system. The soybean protein was administrated in the diets at 20, 40, and 60% levels and its effects were evaluated compared with a fish meal diet. Growth and feed efficiency were affected negatively from 40% level. Increased RBA and expression levels of TGF‐β1 and β2m were found in HK only at 40% level. In intestine, at 60% level CSF‐1R expression was upregulated and some signs of inflammation were evident. In liver, at 60% level lipid accumulation in hepatocytes was observed and enzyme activity was increased. Dietary administration of soybean protein indicated changes from 40% in growth and immune response, and exerted an antioxidative effect at 60% level.