This study aimed to evaluate the intestinal interactions between three short-chain fatty acids (SCFA), namely, acetate, propionate, and butyrate, and pathogenic bacteria (Vibrio anguillarum) in intestinal explants of European sea bass (Dicentrarchus labrax) juveniles. The anterior intestine of 12 fish with an average weight of 100 g (killed by excess anesthesia with 2-phenoxyethanol) were sampled and placed in 24-well plates. The experimental treatments consisted of a control medium and a control plus 1 mM or 10 mM of sodium acetate (SA), sodium butyrate (SB), and sodium propionate (SP). After 2 h of incubation, the explants were challenged with Vibrio anguillarum at 1 × 107 CFU/mL for 2 h. After the bacterial challenge, and regardless of the SCFA treatment, the oxidative stress-related genus catalase (cat) and superoxide dismutase (sod) were down-regulated and glutathione peroxidase (gpx) was up-regulated. Furthermore, the immune-related genes, i.e., the tumor necrosis factor (TNF-α), interleukin 8 (IL-8), transforming growth factor (TGF-β), and nuclear factor (NF-Kβ) were also up-regulated, and interleukin 10 (IL-10) was down-regulated. During the pre-challenge, sodium propionate and sodium butyrate seemed to bind the G-protein coupled receptor (grp40L), increasing its expression. During the challenge, citrate synthase (cs) was down-regulated, indicating that the SCFAs were used as an energy source to increase the immune and oxidative responses. Overall, our results suggest that sodium propionate and sodium butyrate may boost European sea bass immune response at the intestine level.