With global climate changing, hypo-salinity events are increasing in frequency and duration because of continuous rainfall and freshwater inflow, which causes reduced cytosolic osmolarity and cellular stress responses in aquatic animals. Sea cucumbers are considered stenohaline because they lack osmoregulatory organs and are vulnerable to salinity fluctuations. In this study, we performed multiple biochemical assays, de novo transcriptomics, and widely targeted metabolomics to comprehensively explore the osmoregulatory mechanisms and physiological responses of sea cucumber Holothuria moebii to hypo-osmotic stress, which is a representative specie that is frequently exposed to hypo-saline intertidal zones. Our results found that H. moebii contracted their ambulacral feet and oral tentacles, and the coelomic fluid ion concentrations were reduced to be consistent with the environment. The microvilli of intestines and respiratory trees underwent degeneration, and the cytoplasm exhibited swelling and vacuolation. Moreover, the Na+, K+, and Cl− concentrations and Na+/K+-ATPase activity were significantly reduced under hypo-osmotic stress. The decrease in protein kinase A activity and increase in 5′-AMP level indicated a significant inhibition of the cAMP signaling pathway to regulate ion concentrations. And small intracellular organic molecules (amino acids, nucleotides and their derivatives) also play crucial roles in osmoregulation through oxidative deamination of glutamate, nucleotide catabolism, and nucleic acid synthesis. Moreover, lysosomes and peroxisomes removed oxidative damage, whereas antioxidant metabolites, such as N-acetyl amino acids and glutathione, were increased to resist oxidative stress. With prolonged hypo-osmotic stress, glycerophospholipid metabolism was enhanced to maintain membrane stability. Furthermore, acyl-CoA-binding protein activity was significantly inhibited, and only a small amount of acylcarnitine was significantly accumulated, which indicated a disruption in energy metabolism. PPAR signaling pathway and choline content were up-regulated to promote fatty acid metabolism under hypo-osmotic stress. Overall, our results provide new insights into the osmoregulatory mechanisms and physiological responses of sea cucumbers to hypo-osmotic stress.