The quality and relative amounts of dietary lipids may affect the health and growth of cultured Atlantic salmon. So far, little is known about their effects on the performance of the fish immune system during early life stages and, in particular their importance in the transition from endogenous nutrition (yolk) in the alevin stage to exogenous nutrition in the later fry stage. We investigated the immunomodulatory effects of fish oil, vegetable oil and phospholipid-rich oil in feeds for farmed Atlantic salmon using a transcriptomic approach. The experiment allowed a fine-scale monitoring of gene expression profiles in two tissues, the pyloric caeca of the intestine and the liver, in a 94 days-long first feeding experiment. The analysis of transcriptional profiles revealed that first feeding induced a strong immunomodulation in the pyloric caeca after 48 days of feeding, lasting up to day 94 and possibly beyond. On the other hand, the differential effect of the three dietary regimes was negligible. We interpret this upregulation, undetectable in liver, as a potentiation of the immune system upon the first contact of the digestive system with exogenous feed. This process involved a complex network of gene products involved in both cellular and humoral immunity. We identified the classical pathway of the complement system, acting at the crossroads between innate and adaptive immunity, as a key process modulated in response to the switch from endogenous to exogenous nutrition.