Although dietary marine phospholipids are able to improve culture performance of marine fish larvae in a further extend than soybean lecithin, both types of phospholipids (PL) markedly increase oxidative risk. The inclusion of a fat-soluble antioxidant such as the vitamin E α-tocopherol could allow a better control of oxidative stress. The objective of this study was to determine the combined effect of graded levels of α-tocopherol with different levels and sources of krill phospholipids (KPL) and soybean lecithin (SBL) on growth, survival, resistance to stress, oxidative status, bone metabolism-related genes expression and biochemical composition of sea bream larvae. Sea bream larvae were completely weaned at 16 dph and fed for 30 days seven microdiets with three different levels of PL (0, 40 and 80 g kg−1 diet) and two of α-tocopherol 1500 and 3000 mg kg−1 diet. Sea bream larvae fed diets without PL supplementation showed the lowest survival, growth and stress resistance, whereas increase in PL, particularly KPL, markedly promoted larval survival and growth. However, feeding SBL markedly increased TBARs and GPX gene expression increasing the peroxidation risk in the larvae. Besides, KPL inclusion improved incorporation of n-3 HUFA and, particularly, EPA into larval tissues, these fatty acids being positively correlated with the expression of BMP-4, RUNX 2, ALP, OC and OP genes and to bone mineralization for a given larval size class. The increase in dietary α-tocopherol tends to improve growth in relation to the n-3 HUFA levels in the diet, denoting the protective role of this vitamin against oxidation. Indeed, dietary α-tocopherol decreased the oxidative stress in the larvae as denoted by the reduction in larval TBARs contents and gene expression of SOD and CAT, but not GPX. Thus, increase in dietary α-tocopherol effectively prevented the formation of free radicals from HUFA, particularly EPA, but did not affect the incidence of bone anomalies or the expression of genes related to osteogenetic processes.