The present study assessed the protective effects and underlying mechanisms of mulberry leaf polysaccharides (MLPs) against hydrogen peroxide (H2O2)-induced oxidative stress injury in the peripheral blood leukocytes (PBLs) of Megalobrama amblycephala. Five treatment groups were established in vitro: the NC group (PBLs incubated in an RPMI-1640 complete medium for 4 h), the HP group (PBLs incubated in an RPMI-1640 complete medium for 3 h, and then stimulated with 100 μM of H2O2 for 1 h), and the 50/100/200-MLP pre-treatment groups (PBLs were pre-treated with MLPs (50, 100, and 200 μg/mL) for 3 h, and then stimulated with 100 μM of H2O2 for 1 h). The results showed that MLP pre-treatment dose-dependently enhanced PBLs’ antioxidant capacities. The 200 μg/mL MLP pre-treatment effectively protected the antioxidant system of PBLs from H2O2-induced oxidative damage by reducing the malondialdehyde content and lactic dehydrogenase cytotoxicity, and increasing catalase and superoxide dismutase activities (p < 0.05). The over-production of reactive oxygen species, depletion of nicotinamide adenine dinucleotide phosphate, and collapse of the mitochondrial membrane potential were significantly inhibited in the 200-MLP pre-treatment group (p < 0.05). The expressions of endoplasmic reticulum stress-related genes (forkhead box O1α (foxO1α), binding immunoglobulin protein (bip), activating transcription factor 6 (atf6), and C/EBP-homologous protein (chop)), Ca2+ transport-related genes (voltage-dependent anion-selective channel 1 (vdac1), mitofusin 2 (mfn2), and mitochondrial Ca2+ uniporter (mcu)), and interleukin 6 (il-6) and bcl2-associated x (bax) were significantly lower in the 200-MLP pre-treatment group than in the HP group (p < 0.05), which rebounded to normal levels in the NC group (p > 0.05). These results indicated that MLP pre-treatment attenuated H2O2-induced PBL oxidative damage in the M. amblycephala by inhibiting endoplasmic reticulum stress and maintaining mitochondrial function. These findings also support the possibility that MLPs can be exploited as a natural dietary supplement for M. amblycephala, as they protect against oxidative damage.