We investigated the effect of light wavelengths on antioxidant and immunity parameters in juvenile rock bream, Oplegnathus fasciatus, exposed to thermal stress (25 and 30°C). We exposed the fish to light emitting diodes (LEDs) emitting green (520 nm) and red light (630 nm) of 0.25 and 0.5 W/m2 intensity, and measured the activity, and mRNA and protein expression levels of the antioxidant enzymes, superoxide dismutase, catalase, and glutathione peroxidase. We also determined the levels of plasma hydrogen peroxide (H2O2), melatonin, and lysozyme. Furthermore, the mRNA and protein levels of caspase-3 were measured and terminal transferase dUTP nick end labeling (TUNEL) assays were performed. We observed that mRNA expression and activities of antioxidant enzymes and plasma H2O2 levels were significantly higher after exposure to high temperatures. However, increases in these parameters were significantly lower after exposure to green LED light. The plasma melatonin and lysozyme levels were significantly lower in the different groups after exposure to high temperatures; however, in groups exposed to green LED light, their levels were significantly higher than those in the control group. The expression pattern of caspase-3 mRNA was similar to that of H2O2. The TUNEL assay showed that apoptosis was markedly higher at higher water temperatures than that at 20°C. These results indicate that high water temperatures induce oxidative stress and decrease the immunity in juvenile rock bream but green LED light inhibits the rise in oxidative stress and combats the decrease in immunity and should, thus, be useful in the culture of rock bream.