The ocean is facing a multitude of abiotic stresses due to factors such as climate change and pollution. Understanding how organisms in the ocean respond to these global changes is vital to better predicting consequences. Sea cucumbers are popular echinoderms with multiple ecological, nutritional, and pharmaceutical benefits. Here, we reviewed the effects of environmental change on an ecologically important echinoderm of the ocean, aiming to understand their response better, which could facilitate healthy culture programs under environmental changes and draw attention to knowledge gaps. After screening articles from the databases, 142 studies were included on the influence of emergent contaminants and climate variation on the early developmental stages and adults of sea cucumbers. We outlined the potential mechanism underlying the physiological response of sea cucumbers to emerging contaminants and climate change. It can be concluded that the physiological response of sea cucumbers to emergent contaminants differs from their response to climate change. Sea cucumbers could accumulate pollutants in their organs but are aestivated when exposed to extreme climate change. Research showed that the physiological response of sea cucumbers to pollutants indicates that these pollutants impair critical physiological processes, particularly during the more susceptible early phases of development compared to adults, and the accumulation of these pollutants in adults is often observed. For climate change, sea cucumbers showed gradual adaptation to the slight variation. However, sea cucumbers undergo aestivation under extreme conditions. Based on this review, critical suggestions for future research are presented, and we call for more efforts focusing on the co-occurrence of different stressors to extend the knowledge regarding the effects of environmental changes on these economically and ecologically important species.