Long non-coding RNAs (lncRNAs) represent a diverse class of RNAs that are structurally similar to messenger RNAs (mRNAs) but do not encode proteins. Growing evidence suggests that in response to biotic and abiotic stresses, the lncRNAs play crucial regulatory roles in plants and animals. However, the potential role of lncRNAs during fungal infection has yet to be characterized in Plutella xylostella, a devastating pest of cruciferous crops. In the current study, we performed a strand-specific RNA sequencing of Metarhizium anisopliae-infected (Px36hT, Px72hT) and uninfected (Px36hCK, Px72hCK) P. xylostella fat body tissues. Comprehensive bioinformatic analysis revealed a total of 5665 and 4941 lncRNAs at 36 and 72-hours post-infection (hpi), including 563 (Px36hT), 532 (Px72hT) known and 5102 (Px36hT), 4409 (Px72hT) novel lncRNA transcripts. These lncRNAs shared structural similarities with their counterparts in other species, including shorter exon and intron length, fewer exon numbers, and a lower expression profile than mRNAs. LncRNAs regulate the expression of neighboring protein-coding genes by acting in a cis and trans manner. Functional annotation and pathway analysis of cis-acting lncRNAs revealed their role in several immune-related genes, including Toll, serpin, transferrin, βGRP etc. Furthermore, we identified multiple lncRNAs acting as microRNA (miRNA) precursors. These miRNAs can potentially regulate the expression of mRNAs involved in immunity and development, suggesting a crucial lncRNA–miRNA-mRNA complex. Our findings will provide a genetic resource for future functional studies of lncRNAs involved in P. xylostella immune responses to M. anisopliae infection and shed light on understanding insect host–pathogen interactions.