An M. salmoides fish meal diet was supplemented with 0 (CHL0, Control), 38 (CHL38), 76 (CHL76), 114 (CHL114), and 152 (CHL152) mg/kg C. vulgaris for 60 days, and their serum and intestinal samples were analyzed. The results showed that the albumin (ALB) and total protein (TP) contents were observably enhanced in the CHL76 group compared with the Control group. The intestinal glutathione (GSH) and glutathione peroxidase (GSH-Px) contents were enhanced significantly in the CHL76 group, while the total antioxidant capacity (T-AOC) was enhanced in the CHL38 group, compared with the Control group. However, supplementation of >76 g/kg C. vulgaris significantly inhibited the superoxide dismutase (SOD) activity in the intestines of M. salmoides. Moreover, the malondialdehyde (MDA) content was observably dropped in the CHL-supplemented groups compared with the Control group. Transcriptome analysis of the CHL76 and Control groups displayed a total of 1384 differentially expressed genes (DEGs). KEGG analysis revealed that these DEGs were enriched in apoptosis, cytokine–cytokine receptor interaction, tight junction (TJ), and phagosome signaling pathways, which were associated with improved intestinal immunity in the CHL76 group. Additionally, the DEGs enriched in the above pathways were also correlated with the antioxidant parameters, such as catalase (CAT), GSH, GSH-Px, SOD, T-AOC, and MDA. Therefore, our study found that dietary supplementation of C. vulgaris effectively enhanced the intestinal antioxidant capacity of M. salmoides by increasing antioxidant enzyme activity and decreasing MDA content. Additionally, dietary supplementation of C. vulgaris improved the intestinal immune status of M. salmoides by reducing proapoptotic and proinflammatory factors, increasing intestinal TJs- and phagosome-related genes expressions, and increasing the serum ALB and TP contents. Lastly, quadratic regression analysis of the serum biochemical indices (ALB and TP) and intestinal antioxidant parameters (GSH-Px and GSH) revealed that the optimal supplemental level of C. vulgaris in the M. salmoides diet was 58.25–77.7 g/kg.