A 60‐d feeding trial was conducted to evaluate the effects of different dietary oil sources on growth, fatty acid composition, peroxisome proliferator‐activated receptor (PPAR) gene expression levels, and antioxidant responses of blunt snout bream, Megalobrama amblycephala, fingerlings. Fish (average initial weight, 0.35 ± 0.01 g) were fed five experimental diets respectively containing fish oil (FO), soybean oil, canola oil, peanut oil, and palm oil (PaO). Results showed that body weight gain, specific growth rate, and feed conversion ratio did not significantly differ among treatments. Fish fed PaO diet showed significantly higher hepatosomatic index value and liver lipid content than those fed FO diet. The FO group showed significantly higher liver eicosapentaenoic acid (20:5n‐3) + docosahexaenoic acid (22:6n‐3) concentrations than other groups in both neutral lipid and polar lipid fractions. The mRNA expression levels of PPAR‐α and PPAR‐γ in the liver were significantly increased by feeding vegetable oil diets compared to FO. The activities of catalase, superoxide dismutase, and glutathione peroxidase in livers of fish fed PaO diet were lower than those fed FO diet. Meanwhile, PaO group had significantly lower malondialdehyde value than other groups. In conclusion, we suggested that a combination of FO and vegetable oil diet should be used in feed formulations for blunt snout bream fingerlings.