Aphids cause serious losses to the production of wheat. The grain aphid, Sitobion avenae, which is the dominant species of aphid in all wheat regions of China, is resistant to a variety of insecticides, including imidacloprid and chlorpyrifos. However, the resistance and mechanism of insecticide tolerance of S. avenae are still unclear. Therefore, this study employed transcriptome analysis to compare the expression patterns of stress response genes under imidacloprid and chlorpyrifos treatment for 15 min, 3 h, and 36 h of exposure. S. avenae adult transcriptome was assembled and characterized first, after which samples treated with insecticides for different lengths of time were compared with control samples, which revealed 60–2267 differentially expressed unigenes (DEUs). Among these DEUs, 31–790 unigenes were classified into 66–786 categories of gene ontology (GO) functional groups, and 24–760 DEUs could be mapped into 54–268 Kyoto Encyclopedia of Genes and Genomes (KEGG) pathways. Finally, 11 insecticide-tolerance-related unigenes were chosen to confirm the relative expression by quantitative real-time polymerase chain reaction (qRT-PCR) in each treatment. Most of the results between qRT-PCR and RNA sequencing (RNA-Seq) are well-established. The results presented herein will facilitate molecular research investigating insecticide resistance in S. avenae, as well as in other wheat aphids.