The beneficial role of dietary Nannochloropsis oculata (N. oculata) on health parameters of Nile tilapia (Oreochromis niloticus) under air exposure stress were investigated. Fish were fed for 4 weeks in three groups: the control group, N5 (5% of N. oculata), and N10 (10% of N. oculata). The fish in the supplemented groups were then exposed to the air stress experiment for 1 h (h) and designed as N5 + AE and N10 + AE, respectively. The results revealed that serum cortisol and glucose were elevated only in the N10 + AE group, whereas C-reactive protein (CRP) and Immunoglobulin-M (IgM) decreased and increased; respectively, in the supplemented-only groups compared to the control. Intricate changes in stress and cytokine gene expression patterns were evident. In the N10 group, the highest transcription levels of hepatic and intestinal heat shock protein 70/ HSP70 were noted, whereas lower and higher transcription levels of hepatic and intestinal HSP70 were evident in N10 + AE and N5 + AE groups, respectively. The hepatic glutathione peroxidase/ GPx, intestinal glutathione S-transferase/ GST, and GPx were induced in the N5 group but declined significantly upon air exposure in the same group. The intestinal transforming growth factor β1/ TGFβ1 and the IL-10 expression level were significantly induced in the N10 group compared to the N5 group. Interestingly, the N5 + AE group exhibited a significant upregulation of TGF-β1 and IL-10 expression levels compared to N5 and N10 + AE groups. Dietary supplementation of N. oculata maintained the liver and intestinal histomorphology and mitigated the air-exposure impacts on the induced tissue histopathological changes. Overall, both levels of N. oculata dietary supplementation in this study showed advantages in different scenarios regarding mitigation of air-exposure stress; nonetheless, these findings support the vital role of N. oculata as feed additives on fish health and in mitigating physical stressors, like air exposure stress.