The providers of butyric acid, Clostridium butyricum (CB), sodium butyrate (SB), and tributyrin (TB), have been extensively studied as aquafeed additives in recent years. However, no comparative study has been reported on the probiotic effects of CB, SB, and TB as feed additives on sea cucumber (Apostichopus japonicus). A 63-day feeding trial was performed to assess the effects of dietary live cells of C. butyricum (CB group, the basal diet supplemented with 1% CB), sodium butyrate (SB group, the basal diet supplemented with 1% SB), and tributyrin (TB group, the basal diet supplemented with 1% TB) on the growth, non-specific immunity, and intestinal microbiota of A. japonicus with a basal diet group as the control. Results indicated that all three additives considerably increased A. japonicus growth, with dietary CB having the optimal growth-promoting effect. Of the seven non-specific enzyme parameters measured in coelomocytes of A. japonicus (i.e., the activities of phagocytosis, respiratory burst, superoxide dismutase, alkaline phosphatase, acid phosphatase, catalase, and lysozyme), dietary CB, SB, and TB considerably increased the activities of six, five, and six of them, respectively. The immune genes (Aj-p105, Aj-p50, Aj-rel, and Aj-lys) expression in the mid-intestine tissues of A. japonicus was significantly increased by all three additives. The CB group had the highest expression of all four genes. Additionally, the relative expression of Aj-p105, Aj-p50, and Aj-lys genes was significantly up-regulated in the three additive groups after stimulation with inactivated Vibrio splendidus. Dietary CB enhanced the intestinal microbial diversity and richness in A. japonicus while dietary TB decreased them. Meanwhile, dietary CB, SB, and TB significantly enhanced the abundance of Firmicutes, unclassified_f_Rhodobacteraceae, and Proteobacteria, respectively, while dietary CB and SB reduced the abundance of Vibrio. Dietary CB and SB improved the stability of microbial ecosystem in the intestine of A. japonicus. In contrast, dietary TB appeared to have a negative effect on the stability of intestinal microbial ecosystem. All three additives improved the intestinal microbial functions associated with energy production and immunity regulation pathways, which may contribute directly to growth promotion and non-specific immunity enhancement in A. japonicus. Collectively, in terms of enhancing growth and non-specific immunity, as well as improving intestinal microbiota, dietary live cells of C. butyricum exhibited the most effective effects in A. japonicus.