To better understand the olfactory mechanisms in a lepidopteran pest model species, the cotton leafworm Spodoptera littoralis, we have recently established a partial transcriptome from adult antennae. Here, we completed this transcriptome using next generation sequencing technologies, namely 454 and Illumina, on both adult antennae and larval tissues, including caterpillar antennae and maxillary palps. All sequences were assembled in 77,643 contigs. Their analysis greatly enriched the repertoire of chemosensory genes in this species, with a total of 57 candidate odorant-binding and chemosensory proteins, 47 olfactory receptors, 6 gustatory receptors and 17 ionotropic receptors. Using RT-PCR, we conducted the first exhaustive comparison of olfactory gene expression between larvae and adults in a lepidopteran species. All the 127 candidate olfactory genes were profiled for expression in male and female adult antennae and in caterpillar antennae and maxillary palps. We found that caterpillars expressed a smaller set of olfactory genes than adults, with a large overlap between these two developmental stages. Two binding proteins appeared to be larvae-specific and two others were adult-specific. Interestingly, comparison between caterpillar antennae and maxillary palps revealed numerous organ-specific transcripts, suggesting the complementary involvement of these two organs in larval chemosensory detection. Adult males and females shared the same set of olfactory transcripts, except two male-specific candidate pheromone receptors, two male-specific and two female-specific odorant-binding proteins. This study identified transcripts that may be important for sex-specific or developmental stage-specific chemosensory behaviors.