Aquatic pollutants, including cadmium (Cd), cause oxidative stress on aquatic animals. The use of probiotics, including microalgae as a feed additive to alleviate the toxic impacts of heavy metals, is a much more interesting point. Hence, the current study investigated the oxidative stress and immunosuppression in Nile tilapia (Oreochromis niloticus) fingerlings caused by Cd toxicity as well as the preventive function of dietary Chlorella vulgaris against Cd toxicity. Accordingly, fish were fed on 0.0 (control), 5, and 15 g/kg diet of Chlorella up to satiation thrice a day, along with being exposed to 0.0 or 2.5 mg Cd/L for 60 days. Following the experimental procedure, fish from each group were intraperitoneally injected with Streptococcus agalactiae, and their survivability was observed for further ten days. Chlorella-supplemented diets meaningfully (P < 0.05) boosted the antioxidative capability of fish, which was evidenced by higher activities of hepatic superoxide dismutase (SOD), catalase (CAT), glutathione peroxidase (GPx), and glutathione-S-transferase (GST) as well as higher levels of reduced glutathione (GSH) along with significant reductions in hepatic malondialdehyde levels. Moreover, the innate immunity indices [phagocytic activity (PA), respiratory burst activity (RBA), and alternative complement activity (ACH50)] were significantly higher in Chlorella-fed fish, particularly in the group of 15 g/kg diet. Additionally, serum of Chlorella-fed fish showed potent bactericidal activities against S. agalactiae, particularly at the treatment of a 15 g/kg diet. Feeding Chlorella diets to Nile tilapia fingerlings upregulated SOD, CAT, and GPx genes expression alongside the down-regulation of IL-1β, IL-8, IL-10, TNF-α, and HSP70 genes expression. Conversely, Cd toxicity caused oxidative stress and suppressed the fish’s innate immunity with upregulation of the expression of IL-1β, IL-8, IL-10, TNF-α, and HSP70 genes. Feeding Cd-exposed fish on Chlorella-containing diets attenuated these adverse effects. The current research revealed that supplementing feeds with the treatment of 15 g/kg diet of C. vulgaris supports the antioxidant-immune responses and alleviates the Cd toxicity effects on Nile tilapia fingerlings.