Fish gills are the major osmoregulatory tissue that contact the external water environment and have developed an effective osmoregulatory mechanism to maintain cellular function. Marine medaka (Oryzias melastigma) has the ability to live in both seawater and fresh water environments. The present study performed a seawater (SW) to 50% seawater (SFW) transfer, and the gill samples were used for comparative transcriptomic analysis to study the alteration of hypo-osmotic stress on immune responsive genes in this model organism. The result identified 518 differentiated expressed genes (DEGs) after the SW to SFW transfer. Various pathways such as p53 signaling, forkhead box O signaling, and the cell cycle were enriched. Moreover, the immune system was highlighted as one of the top altered biological processes in the enrichment analysis. Various cytokines, chemokines, and inflammatory genes that participate in the IL-17 signaling pathway were suppressed after the SW to SFW transfer. On the other hand, some immunoglobulin-related genes were up-regulated. The results were further validated by real-time qPCR. Taken together, our study provides additional gill transcriptome information in marine medaka; it also supports the notion that osmotic stress could influence the immune responses in fish gills.