Aurantiochytrium sp. is a heterotrophic microorganism that produces docosahexaenoic acid (DHA), thus being considered as a possible replacement for fish oil in aquafeeds. We investigated the effect of Aurantiochytrium sp. meal (AM) dietary levels (0, 5, 10, 20, and 40 g kg−1) on Nile tilapia body and hepatopancreas fatty acid (FA) profile, body FA retention, somatic indices, and morphophysiological changes in the intestine and hepatopancreas, after feeding Nile tilapia juveniles (average initial weight 8.47 g) for 87 days at 22 °C. The 10AM diet was compared to a control diet containing cod liver oil (CLO), since their DHA concentration was similar. Within fish fed diets containing increasing levels of AM, there was a linear increase in n-3 FA content, especially DHA, which varied in the body (0.02 to 0.41 g 100 g−1) and hepatopancreas (0.15 to 1.05 g 100 g−1). The morphology of the intestines and hepatopancreas was positively affected in AM-fed fish. Fish fed 10AM showed less accumulation of n-3 FAs in the body and hepatopancreas when compared to fish fed CLO. Therefore, AM is an adequate substitute for fish oil in winter diets for Nile tilapia, with the supplementation of 40AM promoting the best results regarding intestine and hepatopancreas morphophysiology.