Echinoderms, an ancient and very successful phylum of marine invertebrates, play a central role in the maintenance of ecosystem integrity and are constantly exposed to environmental pressure, including: predation, changes in temperature and pH, hypoxia, pathogens, UV radiation, metals, toxicants, and emerging pollutants like nanomaterials. The annotation of the sea urchin genome, so closely related to humans and other vertebrate genomes, revealed an unusually complex immune system, which may be the basis for why sea urchins can adapt to different marine environments and survive even in hazardous conditions. In this review, we give a brief overview of the morphological features and recognized functions of echinoderm immune cells with a focus on studies correlating stress and immunity in the sea urchin. Immune cells from adult Paracentrotus lividus, which have been introduced in the last fifteen years as sentinels of environmental stress, are valid tools to uncover basic molecular and regulatory mechanisms of immune responses, supporting their use in immunological research. Here we summarize laboratory and field studies that reveal the amenability of sea urchin immune cells for toxicological testing.