Human-induced climate change is causing ocean warming that triggers the breakdown of the coral–algal symbiosis. The proximate cause of this phenomenon, known as coral bleaching, is commonly attributed to the overproduction of reactive oxygen species (ROS) by the thermally stressed photosynthetic algal symbionts. However, direct evidence that algal ROS production (e.g., in the form of H2O2) and coral physiological stress are the ultimate cause of bleaching remains ambiguous. Here, we investigated the temporal dynamics of H2O2 and oxygen (O2) concentrations during thermally induced coral bleaching to disentangle cause from consequence. Microsensors at the tissue interface of Pocillopora damicornis measured H2O2 and O2 concentrations while exposing single nubbins to baseline temperatures (30 °C) and to minor (33 °C), moderate (36 °C), and high (39 °C) levels of acute heat stress using the Coral Bleaching Automated Stress System (CBASS). We show that a temporary decline in O2 concentration, accompanied by a declining photosynthetic efficiency and loss of Symbiodiniaceae and pigmentation, is the initial response to moderate thermal stress. This response was neither provoked nor followed by an increased H2O2 concentration at the coral tissue interface. A steady light-independent increase of H2O2 was only detected during high heat stress, resulting in the complete and permanent loss of photosynthetic activity. Our findings do not support a direct connection between algal photodamage and an increase in H2O2 concentration during thermally induced bleaching and suggest that more research on the function of H2O2 is warranted. This notion is further substantiated by the observation of an additional source of H2O2, likely oxidative bursts, that were common at the baseline temperature and under minor heat stress, while their occurrence decreased at moderate and high heat stress. Resolving the multifaceted and dynamic roles of H2O2 in coral bleaching is critical to better understand the response of the coral holobiont to thermal stress and identifying the processes underlying the breakdown of the coral–algal symbiosis.