Aquafeed companies aim to provide solutions to the various challenges related to nutrition and health in aquaculture. Solutions to promote feed efficiency and growth, as well as improving the fish health or protect the fish gut from inflammation may include dietary additives such as prebiotics and probiotics. The general assumption is that feed additives can alter the fish microbiota which, in turn, interacts with the host immune system. However, the exact mechanisms by which feed influences host-microbe-immune interactions in fish still remain largely unexplored. Zebrafish rapidly have become a well-recognized animal model to study host-microbe-immune interactions because of the diverse set of research tools available for these small cyprinids. Genome editing technologies can create specific gene-deficient zebrafish that may contribute to our understanding of immune functions. Zebrafish larvae are optically transparent, which allows for imaging of specific (immune) cell populations in whole transgenic organisms. Germ-free individuals can be reared to study host-microbe interactions. Altogether, these unique zebrafish features may help shed light on the mechanisms by which feed influences host-microbe-immune interactions and ultimately fish health. In this review, we first describe the anatomy and function of the zebrafish gut: the main surface where feed influences host-microbe-immune interactions. Then, we further describe what is currently known about the molecular pathways that underlie this interaction in the zebrafish gut. Finally, we summarize and critically review most of the recent research on prebiotics and probiotics in relation to alterations of zebrafish microbiota and immune responses. We discuss the advantages and disadvantages of the zebrafish as an animal model for other fish species to study feed effects on host-microbe-immune interactions.