In this study, the exopolysaccharides of Chlorella sp. (CEP) were isolated to obtain the purified fraction CEP4. Characterization results showed that CEP4 was a sulfated heteropolysaccharide. The main monosaccharide components of CEP4 are glucosamine hydrochloride (40.8%) and glucuronic acid (21.0%). The impact of CEP4 on the immune activity of RAW264.7 macrophage cytokines was detected, and the results showed that CEP4 induced the production of nitric oxide (NO), TNF-α, and IL-6 in a dose-dependent pattern within a range of 6 μg/mL. A total of 4824 differentially expressed genes (DEGs) were obtained from the results of RNA-seq. Gene enrichment analysis showed that immune-related genes such as NFKB1, IL-6, and IL-1β were significantly upregulated, while the genes RIPK1 and TLR4 were significantly downregulated. KEGG pathway enrichment analysis showed that DEGs were significantly enriched in immune-related biological processes, including toll-like receptor (TLR) signaling pathway, cytosolic DNA-sensing pathway, and C-type lectin receptor signaling pathway. Protein–protein interaction (PPI) network analysis showed that HSP90AB1, Rbx1, ISG15, Psmb6, Psmb3, Psmb8, PSMA7, Polr2f, Rpsa, and NEDD8 were the hub genes with an essential role in the immune activity of CEP4. The preliminary results of the present study revealed the potential mechanism of CEP4 in the immune regulation of RAW264.7 macrophages, suggesting that CEP4 is a promising immunoregulatory agent.