Massive mortalities in farmed larvae of the scallop Argopecten purpuratus have been associated with pathogenic Vibrio outbreaks. An energetic trade-off between development-associated demands and immune capacity has been observed. Given that highly unsaturated fatty acids (HUFAs) are essential nutrients for larval development, we evaluated the effect of diets based on microalgae low and high in HUFAs (LH and HH, respectively) on the energetic condition and the immune response of scallop larvae. The results showed that the HH diet increased cellular membrane fluidity in veliger larvae. The routine respiration rate was 64% higher in the HH-fed veligers than in the LH-fed veligers. Additionally, the metabolic capacity tended to be higher in the HH-fed veligers than in the LH-fed veligers after the Vibrio challenge. After the challenge, the HH-fed veligers presented higher transcript induction of ApTLR (immune receptor) and ApGlys (immune effector) genes, and the HH-fed pediveligers presented higher induction of ApLBP/BPI1 (antimicrobial immune effector) gene, than the LH-fed larvae. Furthermore, the HH-fed veligers controlled total Vibrio proliferation (maintaining near basal levels) after the bacterial challenge, while the LH-fed veligers were not able to control this proliferation, which increased three-fold. Finally, the HH-fed larvae showed 20–25% higher growth and survival rates than the LH-fed veligers. Overall, the results indicated that the administration of a HH diet increases cell membrane fluidity and energy metabolic capacity, which in turn enhances immunity and the ability to control Vibrio proliferation. The administration of microalgae high in HUFAs would be a promising strategy for improving scallop larval production efficiency.