Nitrogen deprivation is known to improve lipid accumulation in microalgae and thraustochytrids. However, the patterns of fatty acid production and the molecular mechanisms underlying the accumulation of unsaturated and saturated fatty acids (SFAs) under nitrogen starvation remain largely unknown for thraustochytrids. In this study, batch culture experiments under nitrogen replete and nitrogen starvation conditions were performed, and the changes in the transcriptome of Aurantiochytrium sp. PKU#SW8 strain between these conditions were investigated. Our results showed improved yields of total fatty acids (TFAs), total unsaturated fatty acids, and total SFAs under nitrogen starvation, which suggested that nitrogen starvation favors the accumulation of both unsaturated and saturated fatty acids in PKU#SW8. However, nitrogen starvation resulted in a more than 2.36-fold increase of SFAs whereas a 1.7-fold increase of unsaturated fatty acids was observed, indicating a disproportionate increase in these groups of fatty acids. The fabD and enoyl-CoA hydratase genes were significantly upregulated under nitrogen starvation, supporting the observed increase in the yield of TFAs from 2.63 ± 0.22 g/L to 3.64 ± 0.16 g/L. Furthermore, the pfaB gene involved in the polyketide synthase (PKS) pathway was significantly upregulated under nitrogen starvation. This suggested that the increased expression of the pfaB gene under nitrogen starvation may be one of the explanations for the increased yield of docosahexaenoic acid by 1.58-fold. Overall, our study advances the current understanding of the molecular mechanisms that underlie the response of thraustochytrids to nitrogen deprivation and their fatty acid biosynthesis.