Red leaf lettuce (Lactuca sativa L.) is popular due to its high anthocyanin content, but poor leaf coloring often occurs under low light intensity. In order to reveal the mechanisms of anthocyanins affected by light intensity, we compared the transcriptome of L. sativa L. var. capitata under light intensities of 40 and 100 μmol m−2 s−1. A total of 62,111 unigenes were de novo assembled with an N50 of 1,681 bp, and 48,435 unigenes were functionally annotated in public databases. A total of 3,899 differentially expressed genes (DEGs) were detected, of which 1,377 unigenes were up-regulated and 2,552 unigenes were down-regulated in the high light samples. By Kyoto Encyclopedia of Genes and Genomes enrichment analysis, the DEGs were significantly enriched in 14 pathways. Using gene annotation and phylogenetic analysis, we identified seven anthocyanin structural genes, including CHS, CHI, F3H, F3′H, DFR, ANS, and 3GT, and two anthocyanin transport genes, GST and MATE. In terms of anthocyanin regulatory genes, five MYBs and one bHLH gene were identified. An HY5 gene was discovered, which may respond to light-signaling and regulate anthocyanin structural genes. These genes showed a log2FC of 2.7–9.0 under high irradiance, and were validated using quantitative real-time-PCR. In conclusion, our results indicated transcriptome variance in red leaf lettuce under low and high light intensity, and observed a anthocyanin biosynthesis and regulation pattern. The data should further help to unravel the molecular mechanisms of anthocyanins influenced by light intensity.