The role of cognitive factors in triggering the stress response is well established in humans and mammals (aka cognitive appraisal theory) but very seldom studied in other vertebrate taxa. Predictability is a key factor of the cognitive evaluation of stimuli. In this study, we tested the effects of stressor predictability on behavioral, physiological and neuromolecular responses in the European sea bass (Dicentrarchus labrax). Groups of four fish were exposed to a predictable (signalled) or unpredictable (unsignalled) stressor. Stressor predictability elicited a lower behavioural response and reduced cortisol levels. Using the expression of immediate early genes (c-fos, egr-1, bdnf and npas4) as markers of neuronal activity, we monitored the activity of three sea bass brain regions known to be implicated in stressor appraisal: the dorsomedian telencephalon, Dm (putative homologue of the pallial amygdala); and the dorsal (Dld) and ventral (Dlv) subareas of the dorsolateral telencephalon (putative homologue of the hippocampus). The activity of both the Dm and Dlv significantly responded to stressor predictability, suggesting an evolutionarily conserved role of these two brain regions in information processing related to stressor appraisal. These results indicate that stressor predictability plays a key role in the activation of the stress response in a teleost fish, hence highlighting the role of cognitive processes in fish stress.