Coral bleaching—the stress-induced collapse of the coral–Symbiodinium symbiosis—is a significant driver of worldwide coral reef degradation. Yet, not all corals are equally susceptible to bleaching, and we lack a clear understanding of the mechanisms underpinning their differential susceptibilities. Here, we focus on cellular redox regulation as a potential determinant of bleaching susceptibility in the reef coral Stylophora pistillata. Using slow heating (1 °C d−1) and altered irradiance, we induced bleaching in S. pistillata colonies sampled from two depths [5–8 m (shallow) and 15–18 m (deep)]. There was significant depth-dependent variability in the timing and extent of bleaching (loss of symbiont cells), as well as in host enzymatic antioxidant activity [specifically, superoxide dismutase and catalase (CAT)]. However, among the coral fragments that bleached, most did so without displaying any evidence of a host enzymatic antioxidant response. For example, both deep and shallow corals suffered significant symbiont loss at elevated temperature, but only deep colonies exposed to high temperature and high light displayed any up-regulation of host antioxidant enzyme activity (CAT). Surprisingly, this preceded the equivalent antioxidant responses of the symbiont, which raises questions about the source(s) of hydrogen peroxide in the symbiosis. Overall, changes in enzymatic antioxidant activity in the symbionts were driven primarily by irradiance rather than temperature, and responses were similar across depth groups. Taken together, our results suggest that in the absence of light stress, heating of 1 °C d−1 to 4 °C above ambient is not sufficient to induce a substantial oxidative challenge in S. pistillata. We provide some of the first evidence that regulation of coral enzymatic antioxidants can vary significantly depending on habitat, and, in terms of determining bleaching susceptibility, our results suggest a significant role for the host’s differential regulation of cellular redox status.