Dredged material management is a key issue for the protection of aquatic environments. The in situ approach using caged bioindicator species has been chosen lately as a new methodology for the assessment of dredged material. In a tier testing approach, neutral red retention (NRR) assay has been applied as a screening tool to detect adverse changes in health status associated with contamination. Nevertheless, to authors’ knowledge, little is known about the application and validation of this technique in sediment bioindicator species and under field conditions. Caged Ruditapes decussatus and Carcinus maenas were exposed during 28 days to potentially contaminated sediments at three sites in Algeciras Bay (SW Spain) and one site in Cádiz Bay (SW Spain). Lysosomal membrane stability was measured over time in haemolymph samples of exposed clams and crabs using the NRR assay. Sediment characterization of the study sites was performed in parallel. NRR time did not vary significantly (p > 0.05) over time in organisms from Cádiz Bay. Conversely, significant differences (p < 0.05) in NRR time were found in clams and crabs exposed to sediments from Algeciras Bay, which exhibited a 30–70% decrease in haemocyte lysosome membrane stability compared to day 0. Statistical analysis showed a strong correlation between the drop of haemocyte lysosome membrane stability, in both crabs and clams, and the presence of metals (p < 0.05) and PAHs (p < 0.01) in the studied sediments. The results obtained confirmed the use of NRR assay as a suitable and sensitive method to be used in the assessment of sediment quality using as bioindicator species the clam R. philippinarum and the crab C. maenas.