The recognition that all macroorganisms live in symbiotic association with microbial communities has opened up a new field in biology. Animals, plants, and algae are now considered holobionts, complex ecosystems consisting of the host, the microbiota, and the interactions among them. Accordingly, ecological concepts can be applied to understand the host-derived and microbial processes that govern the dynamics of the interactive networks within the holobiont. In marine systems, holobionts are further integrated into larger and more complex communities and ecosystems, a concept referred to as “nested ecosystems.” In this review, we discuss the concept of holobionts as dynamic ecosystems that interact at multiple scales and respond to environmental change. We focus on the symbiosis of sponges with their microbial communities—a symbiosis that has resulted in one of the most diverse and complex holobionts in the marine environment. In recent years, the field of sponge microbiology has remarkably advanced in terms of curated databases, standardized protocols, and information on the functions of the microbiota. Like a Russian doll, these microbial processes are translated into sponge holobiont functions that impact the surrounding ecosystem. For example, the sponge-associated microbial metabolisms, fueled by the high filtering capacity of the sponge host, substantially affect the biogeochemical cycling of key nutrients like carbon, nitrogen, and phosphorous. Since sponge holobionts are increasingly threatened by anthropogenic stressors that jeopardize the stability of the holobiont ecosystem, we discuss the link between environmental perturbations, dysbiosis, and sponge diseases. Experimental studies suggest that the microbial community composition is tightly linked to holobiont health, but whether dysbiosis is a cause or a consequence of holobiont collapse remains unresolved. Moreover, the potential role of the microbiome in mediating the capacity for holobionts to acclimate and adapt to environmental change is unknown. Future studies should aim to identify the mechanisms underlying holobiont dynamics at multiple scales, from the microbiome to the ecosystem, and develop management strategies to preserve the key functions provided by the sponge holobiont in our present and future oceans.