In this study, changes in digestive physiology and nutritional reserve content during the early stages of the Pacific pygmy octopus, Paroctopus digueti, were examined. Body growth, biochemical composition (soluble protein and glycogen concentrations) in the digestive gland and arm muscle, hepatosomatic index, as well as lipases and proteases (acid and alkaline) activities were determined every two days up until 14 days after hatching. Newly hatched octopuses were obtained in the laboratory, from the eggs of a female that spawned in the wild and were kept in individual chambers and fed fresh crab meat. A significant decrease in soluble protein was observed in both, the digestive gland (8 days after hatching) and the arm muscle (2–4 days after hatching). Thereafter, soluble protein gradually increases in digestive gland whereas, in the arm muscle, afterward a significant increase at 6 days after hatching, a decreasing pattern until 14 days after hatching was noticed, possibly due to the start of exogenous feeding. In arm muscle, 2 days after hatching the glycogen showed a peak with subsequent marked fluctuations up to 14 days after hatching, indicative of the complete use of internal nutritional reserves and dependence on exogenous feeding at this time. Higher lipase activity was observed 2 days after hatching, with a significant decrease occurring between 6 and 14 days after hatching. Acid protease activity increased between 6 and 14 days after hatching, while alkaline protease activity remained stable during the developmental period, with a peak occurring 8 days after hatching. These results contribute to the further understanding of this critical period of transition from endogenous to exogenous feeding that takes place between 6 and 8 days after hatching and may be useful in developing effective feeding schemes employing natural or formulated foods for this species.