Euglena gracilis (EG) microalgae has immune-modulating properties, partly due to its unique intracellular β-glucan-granules (paramylon). We evaluated the effects of EG consumption on immune status in vivo, ex vivo, and in vitro. A placebo-controlled cross-over study evaluated acute immune surveillance, followed by a 1-week open-label phase. Immune training was documented using ex vivo immune challenges and cytokine profiles. In vitro testing of monocytes compared the effects of EG to pure β-glucan. Compared to placebo, EG consumption triggered increased T cell numbers in the blood circulation (1 h: p < 0.01) and decreased monocyte numbers (2 h: p < 0.05). Natural killer cells showed increased CD25 expression (1 and 2 h: p < 0.01) and reduced CD69 expression (2 h: p < 0.01). T cells showed reduced CD25 and CD69 expression (p < 0.01). There were no significant changes to serum cytokines. After EG consumption, ex vivo cultures of peripheral blood mononuclear cells showed significant changes to spontaneous and inflammation-induced cytokine levels after 2 h (increased G-CSF: p < 0.01, reduced IL-1β and TNF-α (p < 0.05)) and one week (reduced TNF-α (p < 0.01) and increased IL-10 (p < 0.05)). In vitro, EG-trained monocytes responded differently to a second stimulus than β-glucan-trained monocytes (increased IL-1b: p < 0.1, TNF-α: p < 0.01). EG-mediated training of innate immunity, combined with long-term modulation of inflammation, suggests a nutraceutical strategy for preventive immune support.