Docosahexaenoic acid (DHA) is a polyunsaturated fatty acid that benefits the prevention of chronic diseases. Due to its high unsaturation, DHA is vulnerable to free radical oxidation, resulting in several unfavorable effects, including producing hazardous metabolites. However, in vitro and in vivo investigations suggest that the relationship between the chemical structure of DHA and its susceptibility to oxidation may not be as clear-cut as previously thought. Organisms have developed a balanced system of antioxidants to counteract the overproduction of oxidants, and the nuclear factor erythroid 2-related factor 2 (Nrf2) is the key transcription factor identified for transmitting the inducer signal to the antioxidant response element. Thus, DHA might preserve the cellular redox status promoting the transcriptional regulation of cellular antioxidants through Nrf2 activation. Here, we systematically summarize the research on the possible role of DHA in controlling cellular antioxidant enzymes. After the screening process, 43 records were selected and included in this review. Specifically, 29 studies related to the effects of DHA in cell cultures and 15 studies concerned the effects of consumption or treatment with DHA in animal. Despite DHA’s promising and encouraging effects at modulating the cellular antioxidant response in vitro/in vivo, some differences observed among the reviewed studies may be accounted for by the different experimental conditions adopted, including the time of supplementation/treatment, DHA concentration, and cell culture/tissue model. Moreover, this review offers potential molecular explanations for how DHA controls cellular antioxidant defenses, including involvement of transcription factors and the redox signaling pathway.