Ultraviolet-B (UVB) radiation generates reactive oxygen species (ROS), which damage DNA, proteins, and lipids in aquatic organisms, including fish. This study evaluated UVB-induced oxidative stress in several tissues of two marine teleosts, gilthead seabream (Sparus aurata) and European seabass (Dicentrarchus labrax). Juveniles of both species were exposed to four treatments simulating underwater UVB (no, low, moderate, and high UVB) doses for 6 weeks. Oxidative stress (the activities of several antioxidant enzymes (catalase, CAT; glutathione-S-transferase, GST; superoxide dismutase, SOD, and lipid peroxidation, LPO) were analyzed in the skin, liver, head kidney, gills, muscle, brain, intestine, spleen, and kidney samples obtained at increasing exposure times (3–43 days). UVB exposure induced significant lipid damage and antioxidant responses in several tissues, with the skin showing more pronounced effects in S. aurata than in D. labrax. In the skin of both species and in the liver of D. labrax, LPO levels significantly increased with increasing UVB intensity and exposure time. CAT activity was inhibited in both species (i.e., in liver, skin, head kidney, gills, spleen, and brain) of UVB exposed fish. SOD activity significantly decreased in the skin and head kidney of D. labrax; however, prolonged exposure time was required for significant effects in the skin and gills of S. aurata. GST activity reduced early in the skin of S. aurata, whereas significant effects were noted in the head kidney and brain at the end of experiment. An interactive effect between UVB intensity and exposure time was observed in the skin (seabream and seabass) and liver (seabass). Our results indicated that oxidative stress is induced in the skin as well as indirectly exposed tissues in S. aurata and D. labrax after UVB exposure at the subsurface of transparent seas.