Mycoplasma hyopneumoniae, the main etiological agent of Porcine Enzootic Pneumonia, is widely spread in swine production worldwide. Its prevention is of great interest for the productive system, since its colonization in the lung tissue leads to intense production losses. This study aimed to compare the M. hyopneumoniae shedding and acute-phase response in 30 pigs submitted to different vaccination protocols: an experimental oral vaccine using a nanostructured mesoporous silica (SBA-15) as adjuvant (n = 10); an intramuscular commercially available vaccine at 24 days of age (n = 10); and a control group (n = 10) following experimental challenge with M. hyopneumoniae. Laryngeal and nasal swabs were collected weekly and oral fluids were collected at 7, 10, 14, 17, 23, 28, 35, 42, and 49 days post-infection to monitor pathogen excretion by qPCR. Nasal swabs were also used to detect anti-M. hyopneumoniae IgA by ELISA. Blood samples were collected for monitoring acute phase proteins. The antibody response was observed in both immunized groups seven days after vaccination, while the control group became positive for this immunoglobulin at 4 weeks after challenge. Lung lesion score was similar in the immunized groups, and lower than that observed in the control. SBA-15-adjuvanted oral vaccine provided immunological response, decreased shedding of M. hyopneumoniae and led to mucosal protection confirmed by the reduced pulmonary lesions. This study provides useful data for future development of vaccines against M. hyopneumoniae.