Locusts exhibit remarkable density-dependent phenotype (phase) changes from the solitary to the gregarious, making them one of the most destructive agricultural pests. This phenotype polyphenism arises from a single genome and diverse transcriptomes in different conditions. Here we report a de novo transcriptome for the migratory locust and a comprehensive, representative core gene set. We carried out assembly of 21.5 Gb Illumina reads, generated 72,977 transcripts with N50 2,275 bp and identified 11,490 locust protein-coding genes. Comparative genomics analysis with eight other sequenced insects was carried out to identify the genomic divergence between hemimetabolous and holometabolous insects for the first time and 18 genes relevant to development was found. We further utilized the quantitative feature of RNA-seq to measure and compare gene expression among libraries. We first discovered how divergence in gene expression between two phases progresses as locusts develop and identified 242 transcripts as candidates for phase marker genes. Together with the detailed analysis of deep sequencing data of the 4(th) instar, we discovered a phase-dependent divergence of biological investment in the molecular level. Solitary locusts have higher activity in biosynthetic pathways while gregarious locusts show higher activity in environmental interaction, in which genes and pathways associated with regulation of neurotransmitter activities, such as neurotransmitter receptors, synthetase, transporters, and GPCR signaling pathways, are strongly involved. Our study, as the largest de novo transcriptome to date, with optimization of sequencing and assembly strategy, can further facilitate the application of de novo transcriptome. The locust transcriptome enriches genetic resources for hemimetabolous insects and our understanding of the origin of insect metamorphosis. Most importantly, we identified genes and pathways that might be involved in locust development and phase change, and may thus benefit pest management.