The present study has been aimed at evaluating the effects of the dietary inclusion of the live yeasts, Saccharomyces cerevisiae var. boulardii (LSB) administered at increasing concentrations (0, 100, and 300 mg kg−1 of feed, here referred to as LSB 0, 100, 300) for 90 days, on the health conditions of European sea bass. The main zootechnical parameters, histological and morphological analyses, innate immunity response parameters (intestinal cytokine expression, lysozyme content, spontaneous hemolytic and hemagglutinating activities, antibacterial activities, and peroxidase activity) were measured as fish welfare parameters. LSB did not impair either growth parameters or the morphometric indexes. LSB down-regulated interleukin-1β transcription in the distal gut of fish treated with 5.4 × 105 CFU g−1 (LSB100) for 21 days. The interleukin-6 mRNA level decreased significantly in the proximal gut for both doses of yeast, after 21 days of feeding; the gene expression of interleukin-6 was significantly lower in the sea bass fed 10.81 × 105 CFU g−1 (LSB300) probiotic. The levels of TNF-α mRNA were not influenced by probiotic supplementation. Increases, although not significant, in the hematological and immunological parameters were also recorded. The data collected in the present study suggests that an LSB-supplemented diet acts on the gut immune system of sea bass by modulating the expression of the key inflammatory genes.