Using a circular economy concept, the present study investigated the use of crude glycerol, a primary by-product of biodiesel production, as a low-priced nutrient source for heterotrophic cultivation of the fungus-like protist Schizochytrium limacinum SR21 strain. The whole biomass of this oleaginous microorganism, rich in docosahexaenoic acid (DHA) and high-quality proteins, was then paired with a vegetable oil (VO) source and used to replace fish oil (FO) in European sea bass (Dicentrarchus labrax) feeds. Four nutritionally balanced diets were formulated: diet FO (a FO-based diet), diet VO + 0 (a VO-based diet without S. limacinum), and diets VO + 5 and VO + 10 that were VO-based feeds supplemented with 5 and 10% of S. limacinum, respectively. After a 3-month feeding trial, fish of all dietary groups tripled their initial weight, but growth and feeding efficiencies of D. labrax were not significantly different among treatments. Although the formulated diets were balanced for polyunsaturated fatty acids (PUFAs), fish fed with feeds containing either VO or VO plus 5 and 10% of S. limacinum biomass had significantly higher levels of PUFAs in the flesh than fish fed the FO-based diet. Values of health-related lipid indexes, such as atherogenicity index, thrombogenicity index, and flesh lipid quality as well as n-6/n-3 and PUFAs/SFAs ratios confirmed the high nutritional value of sea bass filet, thus representing a healthy product for human consumption. Although the PUFAs/SFAs ratio showed a significantly higher value in fish fed with VO-based diets supplemented with S. limacinum than in those fed with FO diet, suggesting a better filet quality, the n-6/n-3 ratio clearly indicated that filet quality of dietary group FO was best (value of 0.55) and that of group VO + 10 second best (value of 0.98). We also evaluated the nutritional regulation of Δ6-desaturase (or fads2) gene expression in European sea bass liver. European sea bass fed the VO + 0 diet had the highest number of mRNA copies for Δ6-desaturase (or fads2), fish fed with diet VO + 10 the lowest. Our study adds to the growing body of literature concerning the use of thraustochytrid biomass as a valid alternative to marine-derived raw materials for European sea bass feeds.