RNAi (RNA interference) relies on the production of small RNAs (sRNAs) from double-stranded RNA and comprises a major pathway in eukaryotes to restrict the propagation of selfish genetic elements. Amplification of the initial RNAi signal by generation of multiple secondary sRNAs from a targeted mRNA is catalyzed by RNA-dependent RNA polymerases (RdRPs). This phenomenon is known as transitivity and is particularly important in plants to limit the spread of viruses. Here we describe, using a genome-wide approach, the distribution of sRNAs in the glaucophyte alga Cyanophora paradoxa. C. paradoxa is a member of the supergroup Plantae (also known as Archaeplastida) that includes red algae, green algae, and plants. The ancient (>1 billion years ago) split of glaucophytes within Plantae suggests that C. paradoxa may be a useful model to learn about the early evolution of RNAi in the supergroup that ultimately gave rise to plants. Using next-generation sequencing and bioinformatic analyses we find that sRNAs in C. paradoxa are preferentially associated with mRNAs, including a large number of transcripts that encode proteins arising from different functional categories. This pattern of exonic sRNAs appears to be a general trend that affects a large fraction of mRNAs in the cell. In several cases we observe that sRNAs have a bias for a specific strand of the mRNA, including many instances of antisense predominance. The genome of C. paradoxa encodes four sequences that are homologous to RdRPs in Arabidopsis thaliana. We discuss the possibility that exonic sRNAs in the glaucophyte may be secondarily derived from mRNAs by the action of RdRPs. If this hypothesis is confirmed, then transitivity may have had an ancient origin in Plantae.