Distinct lineages of the grasshopper Chorthippus parallelus (Orthoptera: Acrididae) form well‐known hybrid zones (HZs) both in the Pyrenees and the Alps mountain ranges in South Europe. These HZs represent unique experimental systems to identify “key genes” that maintain genetic boundaries between emerging species. The Iberian endemism C. p. erythropus (Cpe) and the subspecies C. p. parallelus (Cpp), widely distributed throughout the rest of Europe, overlap and form the Pyrenean HZ. Both subspecies differ morphologically, as well as in behavioral, mitochondrial, nuclear, and chromosomal traits, and in the strains of the maternally transmitted bacterial endosymbiont Wolbachia infecting them. This results in either unidirectional and bidirectional cytoplasmic incompatibility between both grasshopper subspecies, pointing out that Wolbachia clearly affects gene expression in the infected individuals. Here we explore how Wolbachia may modify the expression of some major genes involved in relevant pathways in Cpp in the Pyrenean HZ. We have analyzed, through molecular biomarkers, the physiological responses in C. parallelus individuals infected by Wolbachia, with particular attention to the energy metabolism, the immune system response, and the reproduction. qPCR was used to evaluate the expression of selected genes in the gonads of infected and uninfected adults of both sexes, since this tissue constitutes the main target of Wolbachia infection. Transcriptional analyses also showed differential sex‐dependent responses in most of the analyzed biomarkers in infected and noninfected individuals. We identified for the first time new sensitive biomarkers that might be involved in the reproductive barrier induced by Wolbachia in the hybrid zone.