The blunt snout bream (Megalobrama amblycephala) is a typical hypoxia-sensitive fish, and hypoxia stress leads to reduced vitality and yield during aquaculture. To explore the specific adaptation mechanism under hypoxia, the blunt snout bream was treated with hypoxia (DO = 2.0 ± 0.1mg/L) for 24h, followed by 3h of recovery. Our results depicted that the gill filament structure of blunt snout bream changed after hypoxia. During hypoxia for 24h, the gill filament structure was altered, including a more than 80% expansion of the lamellar respiratory surface area and a proportionate apoptosis decrease in interlamellar cell mass (ILCM) volume. Thus, the water-blood diffusion distance was shortened to less than 46%. During hypoxia for 24h, the activity of ROS in gill tissue increased significantly (p < 0.05), while the mitochondrial membrane potential decreased significantly (p < 0.05). During hypoxia, mRNA expression level of anti-apoptotic gene Bcl-2 in the gills of blunt snout bream decreased significantly (p < 0.05), while the expression of pro-apoptotic gene Bax mRNA increased significantly (p < 0.05). Thus, the ratio of Bax/Bcl-2 mRNA increased in the gills of blunt snout bream to promote the activity of Caspase-3. Together, our results indicated hypoxia-induced apoptosis in the gills of blunt snout bream through the mitochondrial pathway. In addition, a decreased expression of Phd1 and an increased expression of Hif-1α in gills under hypoxia stress indicates that blunt snout bream may cope with hypoxia-induced apoptosis by enhancing the HIF pathway. These results provide new insights into fish's adaptation strategies and mechanisms of hypoxia.