The sea cucumber (Apostichopus japonicus) occupies a basal position during the evolution of deuterostomes and is also an important aquaculture species. In order to identify more immune effectors, transcriptome sequencing of A. japonicus coelomocytes in response to lipopolysaccharide (LPS) challenge was performed using the Illumina HiSeq™ 2000 platform. One hundred and seven differentially expressed genes were selected and divided into four functional categories including pathogen recognition (25 genes), reorganization of cytoskeleton (27 genes), inflammation (41 genes) and apoptosis (14 genes). They were analyzed to elucidate the mechanisms of host-pathogen interactions and downstream signaling transduction. Quantitative real-time polymerase chain reactions (qRT-PCRs) of 10 representative genes validated the accuracy and reliability of RNA sequencing results with the correlation coefficients from 0.88 to 0.98 and p-value <0.05. Expression analysis of immune-related genes after LPS challenge will be useful in understanding the immune response mechanisms of A. japonicus against pathogen invasion and developing strategies for resistant markers selection.