Information on the nutritional requirements and preferred diets of sea cucumber juveniles is extremely limited and this has hindered development of hatchery culture methods. This study assessed ingestion, cell wall digestion and relative nutritional values of two live micro-algae (Isochrysis aff. galbana (TISO) and Chaetoceros muelleri) and six concentrated micro-algae products (Instant Algae®, Reed Mariculture Inc.) for early juveniles of sandfish, Holothuria scabra. Seven of the eight micro-algae tested were ingested by juveniles with the exception of live TISO. Faeces excretion times varied between ingested diets that passed through the juvenile gut in less than 1 h. The cell walls of five of the eight micro-algae tested were partially or mostly digested (Chaetoceros muelleri, TW1200®, Palova 1800®, Isochrysis 1800® and Shellfish 1800®), while the cell walls of Tetraselmis 3600® and 3H 1800® remained intact. Juvenile growth rates were significantly different between diet treatments over the duration of a 14 day growth trial. Mean (± SE) length of early juveniles at the end of the growth trial was highest for those fed live C. muelleri (4.10 ± 0.03 mm) followed by TW 1200® (3.49 ± 0.05 mm). Juvenile survival did not differ significantly between diet treatments and was highest for those fed C. muelleri (79.33 ± 6.11%) followed by TW1200® (78.33 ± 1.20%). Pearson's correlation tests were used to identify key correlations between the levels of specific nutrients and juvenile performance (growth and survival). A significant positive correlation between growth and dietary protein content (P < 0.05), and a highly significant positive correlation between growth and dietary EPA:DHA ratio (P < 0.01) provide new information to inform diet selection for juvenile sandfish that will help improve juvenile performance a support improved hatchery production. Use of commercially available micro-algae concentrates as a replacement for live micro-algae in sandfish hatcheries supports development of cheaper, simpler post settlement rearing protocols for this species.