How insect brains differ between the sexes and respond to sex-specific pheromones is still not well understood. Here we briefly exposed female Bicyclus anynana butterflies to wild type and modified male sex pheromone blends, previously shown to modify females sexual preferences, and examined how their brains were modified at the morphological and molecular levels three days later. First, we 3D-reconstructed male and female brains of this species and documented sexual dimorphism in the size of seven of 67 glomeruli present in the olfactory lobe. Then we showed that several glomeruli changed in volume after blend exposures, implicating them in sex pheromone perception. Finally, we found that a few genes were differentially expressed but many more were differentially spliced between male and female naive brains, and between naive and pheromone blend-exposed brains. These are primarily calcium-binding channels and RNA-binding genes, respectively. A learned preference for changed levels in a single pheromone component was linked to variants of proteins involved in synaptic transmission. Our work shows that naive male and female brains differ primarily in gene splicing patterns and that a brief 3-minute exposure to pheromones produces slight changes in brain volume and large changes in the splicing of genes involved in neural development, that correlate with changes in sexual preferences in females.