European anchovy is a multiple-spawning and highly fecundate pelagic fish with high economic and ecological significance. Although fecundity is influenced by nutrition, temperature and weight of spawners, high reproductive capacity is related to molecular processes in the ovary. The ovary is an essential and complex reproductive organ composed of various somatic and germ cells, which interact to facilitate the development of the ovary and functional oocytes. Revealing the ovarian transcriptome profile of highly fecundate fishes provides insights into oocyte production in teleosts. Here we use a comprehensive tissue-specific RNA sequencing which yielded 102.3 billion clean bases to analyze the transcriptional profiles of the ovary compared with other organs (liver, kidney, ovary, testis, fin, cauda and gill) and juvenile tissues of European anchovy. We conducted a comparative transcriptome and positive selection analysis of seven teleost species with varying fecundity rates to identify genes potentially involved in oogenesis and oocyte development. Of the 2,272 single copies of orthologous genes found, up to 535 genes were under positive selection in European anchovy and these genes are associated with a wide spectrum of cellular and molecular functions, with enrichments such as RNA methylation and modification, ribosome biogenesis, DNA repair, cell cycle processing and peptide/amide biosynthesis. Of the 535 positively selected genes, 55 were upregulated, and 45 were downregulated in the ovary, most of which were related to RNA and DNA transferase, developmental transcription factors, protein kinases and replication factors. Overall, our analysis of the transcriptome level in the ovarian tissue of a teleost will provide further insights into molecular processes and deepen our genetic understanding of egg production in highly fecund fish.