Climate change is driving the dangerous confluence of extreme weather events. Among others, aquatic ecosystems are the most affected one. This study sheds light on how dietary supplements affect the physiological responses of European seabass during extreme winter exposure. Fish were provided with three dietary supplements: vitamins C and E (diet-1), propolis (diet-2), and phycocyanin (diet-3) for 45 days. They were then exposed to a simulated extreme winter cold (7 °C) for 20 days. The results showed that dietary supplements do not have a significant impact on weight, growth rate, and protein efficiency ratio before cold exposure. Levels of Na + and Cl − in the fish remained stable across all diets during both control (20 °C) and 7 °C exposure. However, on the 20th day of cold exposure, fish fed diet-3 exhibited notably higher levels of K+ compared to the other two diets, whereas blood glucose was significantly lower in fish fed diet-1. On day 20, significantly higher GPT activities were observed in fish fed diet-1. No significant effects of dietary supplementation were observed in fish serum cholesterol and protein levels. Before cold stress, fish fed the control diet exhibited significantly lower triglyceride levels (p < 0.05). However, during cold exposure, triglyceride levels increased in fish fed diet-1 and the control diet. On day 20, fish fed diet-3 exhibited a comparatively higher lactate content. Conversely, cortisol levels were significantly lower (p < 0.05) in fish fed diets 2 and 3 on the same day. No dietary effects were observed on fish muscle HSP70 gene expression. On days 10 and 20, SREBP1 was significantly upregulated in fish fed all diets. On day 20 of cold exposure, FADS2 and GLUT2 genes were downregulated in the fish fed control diet compared to those fed diets 2 and 3. Before cold stress, fish on the control diet showed higher TNF-1α expression in the spleen. SREBP1 showed a significant upregulation on day 10 in fish fed diet-2. FADS2 gene expression remained unchanged during cold stress. GLUT2 expression showed no noticeable effects throughout the study. Overall, during extreme cold exposure, we observed decreased levels of blood cortisol, transaminase, dehydrogenase, and metabolites, along with a comparatively higher upregulation of growth, metabolic, and immune genes in fish fed diets supplemented with propolis, phycocyanin, and vitamins C&E. These results suggest that dietary supplements can help European seabass cope better with extreme cold, at least for short periods of up to 20 days.