The use of grafted seedlings in vegetable crops has increased in recent years to enhance the resistance to biological and abiotic stresses, and improve yields. However, incompatibility restricts the wide application of grafting. In this study, two pumpkin (Cucurbita) cultivars, with great differences in grafting affinity and symbiotic affinity, were used as rootstocks and cucumber (Cucumis sativus) seedlings were used as the scion. The effects of compatibility or incompatibility on histological aspects, antioxidant enzyme activities, phenylpropanoid contents, and chlorophyll fluorescence were studied. The results showed that compatible graft combinations present a stronger resistance to the oxidative damage resulting from grafting and had relatively weak phenylpropanoid metabolisms. The results also indicated that the chlorophyll fluorescence levels of incompatible combinations were lower, except compared with the original fluorescence. Finally, a necrotic layer existed earlier in compatible graft combinations. These differences at the morphological, physiological, and cellular levels may govern compatibility and incompatibility, and may provide valuable information for determining the symbiotic affinity of grafted seedlings at an early stage.