Nodavirus, or nervous necrosis virus (NNV), is the causative agent of viral encephalopathy and retinopathy (VER), a severe disease affecting numerous fish species worldwide. European sea bass, a cultured species of great economic importance, is highly susceptible to the disease. To better understand the response of this organism to NNV, we conducted RNA-Seq analysis of the brain and head kidney from experimentally infected and uninfected sea bass juveniles at 24 and 72 hours post-infection (hpi). Contrary to what was expected, we observed modest modulation of immune-related genes in the brain, the target organ of this virus, and some of these genes were even downregulated. However, genes involved in the stress response showed extremely high modulation. Accordingly, the genes encoding the enzymes implicated in the synthesis of cortisol were almost the only overexpressed genes in the head kidney at 24 hpi. This stress response was attenuated after 72 h in both tissues, and a progressive immune response against the virus was mounted. Moreover, experiments were conducted to determine how stress activation could impact NNV replication. Our results show the complex interplay between viral activity, the stress reaction and the immune response.