Mayflies (Ephemeroptera) display many primitive characters and a unique type of metamorphosis (Prometabola). However, information on the genomes and transcriptomes of this insect group is limited. The RNA sequencing study presented here generated the first de novo transcriptome assembly of Cloeon viridulum (Ephemeroptera: Baetidae), and compared gene expression signatures among the young larva (YL), mature larva (ML), subimago (SI), and imago (IM) stages of this mayfly. The transcriptome, based on 88 Gb of sequence data, comprised a set of 81,185 high quality transcripts. The number of differentially expressed genes (DEGs) in YL vs. ML, ML vs. SI, and SI vs. IM, was 4,825, 1,584, and 1,278, respectively, according to the reads per kilobase of transcript per million mapped reads analysis, assuming a false discovery rate <0.05 and a fold change >2. Gene enrichment analysis revealed that these DEGs were enriched in the “chitin metabolic process”, “germ cell development”, “steroid hormone biosynthesis”, and “cutin, suberine, and wax biosynthesis” pathways. Finally, the expression pattern of a selected group of candidate signature genes for Prometabola, including vestigial, methoprene-tolerant, wingless, and broad-complex were confirmed by quantitative real time-PCR analysis. The Q-PCR analysis of larval, subimaginal, and imaginal stages of C. viridulum suggests that the development of mayflies more closely resembles hemimetamorphosis than holometamorphosis.