The peanut worm (Sipunculus nudus) is an important intertidal species worldwide. Species living in the same aquaculture area might suffer different environmental impacts. To increase knowledge of the molecular mechanisms underlying the response to environmental fluctuations, we performed a transcriptome analysis of S. nudus from different intertidal zones using a combination of the SMRT platform and the Illumina sequencing platform. (1) A total of 105,259 unigenes were assembled, and 23,063 unigenes were perfectly annotated. The results of the PacBio Iso-Seq and IIIumina RNA-Seq enriched the genetic database of S. nudus. (2) A total of 830 DEGs were detected in S. nudus from the different groups. In particular, 33 DEGs had differential expression in the top nine KEGG pathways related to pathogens, protein synthesis, and cellular immune response and signaling. The results indicate that S. nudus from different zones experience different environmental stresses. (3) Several DEGs (HSPA1, NFKBIA, eEF1A, etc.) in pathways related to pathogens (influenza A, legionellosis, measles, and toxoplasmosis) had higher expression in groups M and L. HSPA1 was clearly enriched in most of the pathways, followed by NFKBIA. The results show that the peanut worms from the M and L tidal flats might have suffered more severe environmental conditions. (4) Some DEGs (MKP, MRAS, and HSPB1) were upregulated in peanut worms from the H tidal flat, and these DEGs were mainly involved in the MAPK signaling pathway. These results indicate that the MAPK pathway may play a vital role in the immune response of the peanut worm to the effects of different intertidal flats. This study provides a valuable starting point for further studies to elucidate the molecular basis of the response to different environmental stresses in S. nudus.