This study was to develop liposome‐encapsulated interferon alpha (IFN‐α) vaccine and to evaluate the immune response of IFN‐α vaccine to grass carp reovirus (GCRV) infection. After IFN‐α vaccine was constructed and administrated to grass carps through intraperitoneal injection, the expressions of immune‐related genes such as IFN‐α, interferon regulatory factor 1 (IRF1), signal transducers and activators of transcription 3 (STAT3) and myxovirus resistant (Mx) genes in the liver, kidney, spleen and intestine of grass carps were measured at different time points. Immunized fishes were then challenged with lethal dose of GCRV, and the cumulative mortality and relative percentage survival (RPS) rates were determined. Our results demonstrated that, compared with the control group, the cumulative percentage of mortality was significantly lowered while the mRNA expression levels of IFN‐α, IRF1, STAT3 and Mx in different tissues were significantly increased within 48 hr, and declined to normal levels at 72 hr in liposome‐encapsulated pGEFP‐N1‐IFN‐α group. In conclusion, this study indicates that IFN‐α vaccine can initiate the innate immune response and protect the grass carps against GCRV infection, which will provide efficient strategies for the prevention of GCRV infection.