Feed efficiency is an important economic factor in poultry production, and the rate of feed efficiency is generally evaluated using residual feed intake (RFI). The molecular regulatory mechanisms of RFI remain unknown. Therefore, the objective of this study was to identify candidate genes and signaling pathways related to RFI using RNA-sequencing for low RFI (LRFI) and high RFI (HRFI) in the Xiayan chicken, a native chicken of the Guangxi province. Chickens were divided into four groups based on FE and sex: LRFI and HRFI for males and females, respectively. We identified a total of 1,015 and 742 differentially expressed genes associated with RFI in males and females, respectively. The 32 and 7 Gene Ontology (GO) enrichment terms, respectively, identified in males and females chiefly involved carbohydrate, amino acid, and energy metabolism. Additionally, Kyoto Encyclopedia of Genes and Genomes (KEGG) analysis identified 11 and 5 significantly enriched signaling pathways, including those for nutrient metabolism, insulin signaling, and MAPK signaling, respectively. Protein–protein interaction (PPI) network analysis showed that the pathways involving CAT, ACSL1, ECI2, ABCD2, ACOX1, PCK1, HSPA2, and HSP90AA1 may have an effect on feed efficiency, and these genes are mainly involved in the biological processes of fat metabolism and heat stress. Gene set enrichment analysis indicated that the increased expression of genes in LRFI chickens was related to intestinal microvilli structure and function, and to the fat metabolism process in males. In females, the highly expressed set of genes in the LRFI group was primarily associated with nervous system and cell development. Our findings provide further insight into RFI regulation mechanisms in chickens.