Cephalopods are economically and ecologically important species across the world, yet information linking physiological stress and associated immunological responses is limited in the current literature. Here, the effects of exhaustive exercise in a holobenthic octopus species, Octopus pallidus, were examined by evaluating immunological parameters. In whole haemolymph, the pH and refractive index were measured. To assess the cellular function of the haemolymph, the total count, cell vitality and phagocytosis capacity of the haemocytes were also measured. To assess enzymatic function, activities of the phenoloxidase system and lysozyme were quantified in the plasma and cellular components of the haemolymph. Overall, exhaustive exercise led to rapid changes in the haemolymph with a significant decrease in the pH and phagocytosis capacity though the number of cells and cell vitality were not affected. Exercise also triggered the increase of activated phenoloxidase (PO-like) activity and the decrease of the inactive zymogen prophenoloxidase (ProPO-like), total PO-like and lysozyme activity in plasma and an increase in total PO-like activity in the hemocyte compartment. These responses indicated that a realistic energetic demand had substantial, rapid impact on immune function. These results also provide an important baseline to understand the immune physiology of cephalopods that will further efforts to identify the mechanisms underlying the impacts of stressors.