Environmental salinity is an important abiotic factor influencing normal physiological functions and productive performance in the sea cucumber Apostichopus japonicus. It is therefore important to understand how changes in salinity affect sea cucumbers in the face of global climate change. In this study, we investigated the responses to salinity stress in sea cucumbers using mRNA and miRNA sequencing. The regulatory network of mRNAs and miRNAs involved in salinity stress was examined, and the metabolic pathways enriched for differentially expressed miRNAs and target mRNAs were identified. The top 20 pathways were involved in carbohydrate metabolism, fatty acid metabolism, degradation, and elongation, amino acid metabolism, genetic information processing, metabolism of cofactors and vitamins, transport and catabolism, and environmental information processing. A total of 22 miRNAs showed differential expression during salinity acclimation. The predicted 134 target genes were enriched in functions consistent with the results of gene enrichment based on transcriptome analysis. These results suggested that sea cucumbers deal with salinity stress via changes in amino acid metabolism, ion channels, transporters, and aquaporins, under stimulation by environmental signals, and that this process requires energy from carbohydrate and fatty acid metabolism. Salinity challenge also induced miRNA expression. These results provide a valuable genomic resource that extends our understanding of the unique biological characteristics of this economically important species under conditions of salinity stress.