Investigation of how diatoms cope with the rapid fluctuations in iron bioavailability in marine environments may facilitate a better understanding of the mechanisms underlying their ecological success, in particular their ability to proliferate rapidly during favorable conditions. In this study, using in vivo biochemical markers and whole-cell iTRAQ-based proteomics analysis, we explored the cellular responses associated with reactive oxygen species (ROS) production and cell fate decision during the early response to Fe limitation in the centric diatom Thalassiosira pseudonana. Fe limitation caused a significant decrease in Photosystem (PS) II photosynthetic efficiency, damage to the photosynthetic electron transport chain in PS I, and blockage of the respiratory chain in complexes III and IV, which could all result in excess ROS accumulation. The increase in ROS likely triggered programmed cell death (PCD) in some of the Fe-limited cells through synthesis of a series of proteins involved in the delicate balance between pro-survival and pro-PCD factors. The results provide molecular-level insights into the major strategies that may be employed by T. pseudonana in response to Fe-limitation: the reduction of cell population density through PCD to reduce competition for available Fe, the reallocation of intracellular nitrogen and Fe to ensure survival, and an increase in expression of antioxidant and anti-PCD proteins to cope with stress.