Cadmium (Cd) pollution has become a global issue due to industrial and agricultural developments. However, the molecular mechanism of Cd-induced detrimental effects and relevant signal transduction/metabolic networks are largely unknown in marine fishes. Here, greenfin horse-faced filefish (Thamnaconus septentrionalis) were exposed to 5.0 mg/L Cd up to 7 days. We applied both biochemical methods and multi-omics techniques to investigate how the gills respond to Cd exposure. Our findings revealed that Cd exposure caused the formation of reactive oxygen species (ROS), which in turn activated the MAPK and apoptotic pathways to alleviate oxidative stress and cell damage. Glycolysis, protein degradation, as well as fatty acid metabolism might assist to meet the requirements of nutrition and energy under Cd stress. We also found that long-term (7 days, “long-term” means compared to 12 and 48 h) Cd exposure caused the accumulation of succinate, which would in turn trigger an inflammatory response and start an immunological process. Moreover, ferroptosis might induce inflammation. Overall, Cd exposure caused oxidative stress, energy metabolism disturbance, and immune response in greenfin horse-faced filefish. Our conclusions can be used as references for safety risk assessment of Cd to marine economic fishes.