Plutella xylostella has become the major lepidopteran pest of Brassica owing to its strong ability of resistance development to a wide range of insecticides. Destruxin A, a mycotoxin of entomopathogenic fungus, Metarhizium anisopliae, has broad-spectrum insecticidal effects. However, the interaction mechanism of destruxin A with the immune system of P. xylostella at genomic level is still not well understood. Here, we identified 129 immunity-related genes, including pattern recognition receptors, signal modulators, few members of main immune pathways (Toll, Imd, and JAK/STAT), and immune effectors in P. xylostella in response to destruxin A at three different time courses (2 h, 4 h, and 6 h). It is worthy to mention that the immunity-related differentially expressed genes (DEGs) analysis exhibited 30, 78, and 72 up-regulated and 17, 13, and 6 down-regulated genes in P. xylostella after destruxin A injection at 2 h, 4 h, and 6 h, respectively, compared to control. Interestingly, our results revealed that the expression of antimicrobial peptides that play a vital role in insect immune system was up-regulated after the injection of destruxin A. Our findings provide a detailed information on immunity-related DEGs and reveal the potential of P. xylostella to limit the infection of fungal peptide destruxin A by increasing the activity of antimicrobial peptides.