Nowadays, both pelleted feed (PF) and extruded feed (EF) have been widely adopted in the aquaculture industry. However, limited information is available comparing their utilization efficiencies and meanwhile interpreting the underlying mechanisms. This study aimed to compare the utilization efficiencies of both PF and EF by blunt snout bream (Megalobrama amblycephala) based on growth performance, digestive capacities, and endocrine functions. Two feeds with identical formulas were prepared and named PF and EF. Fish were randomly distributed into two groups, including one that fed the PF continuously, and one that offered the EF continuously. The whole feeding trail lasted 8weeks. The results showed that the protein efficiency (PER), retention of nitrogen and energy (NRE and ERE), viscera index (VSI), apparent digestibility of dry matter, protein, carbohydrate, and gross energy, whole-body crude protein and energy contents, intestinal enzymatic activities of protease, amylase, and Na+,K+-ATPase, intestinal villi length, crypt depth, muscular layer thickness, and the transcriptions of leptin (LEP) and cholecystokinin (CCK) of the EF group were all significantly higher than those of the PF group, while the opposite was true for feed intake and feed conversion ratio. These findings suggested that compared with PF, EF could improve the feed utilization and nutrient retention of blunt snout bream by enhancing the intestinal digestive and absorptive functions but reduce the feed intake through the stimulation of both LEP and CCK.