Oxygen supply is an important factor during Crypthecodinium cohnii fermentation for docosahexaenoic acid (DHA) production. However, few studies about the intrinsic correlation between dissolved oxygen (DO) and cellular metabolism have been reported. In this study, the responses of C. cohnii to different DO levels were evaluated. The results showed the growth and glucose consumption rates of C. cohnii were much higher under high oxygen supply condition. Furthermore, GC-MS based comparative metabolomic analysis was employed to discriminate the responsive metabolites associated with varying DO levels. The results showed the intermediates involved in glycolytic pathway and TCA cycle were up-regulated under high DO levels at exponential phase. At stationary phase, under high DO levels, metabolites involved in triacylglycerol metabolism were up-regulated, while the OPP pathway intermediate product ribose 5-phosphate was down-regulated. Together, these results provide useful insights into the functional metabolic relationship between DO levels and DHA production in C. cohnii.