Reef-forming cnidarians are extremely susceptible to the “bleaching” phenomenon caused by global warming. The effect of elevated seawater temperature has been extensively studied on Anthozoans; however, to date the impact of thermal stress on the expression of genes and proteins in Hydrozoan species has not been investigated. The present study aimed to determine the differential proteomic profile of Millepora alcicornis, which inhabits the Mexican Caribbean, in response to the El Niño-Southern Oscillation 2015–2016. Additionally, the cytolytic activity of the soluble proteomes obtained from normal and bleached M. alcicornis was assessed. Bleached specimens showed decreased symbiont’s density and chlorophyll a and c2 levels. After bleaching, we observed a differential expression of 17 key proteins, tentatively identified as related to exocytosis, calcium homeostasis, cytoskeletal organization, and potential toxins, including a metalloprotease, a phospholipase A2 (PLA2), and an actitoxin. Although, some of the differentially expressed proteins included potential toxins, the hemolytic, PLA2, and proteolytic activities elicited by the soluble proteomes from bleached and normal specimens were not significantly different. The present study provides heretofore-unknown evidence that thermal stress produces a differential expression of proteins involved in essential cellular processes of Hydrozoan species. Even though our results showed an over-expression of some potential toxin-related proteins, the cytolytic effect (as assessed by hemolytic, PLA2, and caseinolytic activities) was not increased in bleached M. alcicornis, which suggests that the cytolysis is mainly produced by toxins whose expression was not affected by temperature stress. These findings allow hypothesizing that this hydrocoral is able to prey heterotrophically when suffering from moderate bleaching, giving it a better chance to withstand the effects of high temperature.