Puberty is an important developmental period marked by hormonal, metabolic and immune changes, which have been implicated in predisposition to immune diseases later in life. Yet, little is known about the gene expression changes in immune cells that occur during pubertal development. In a longitudinal cohort of 251 children we assessed pubertal development and leukocyte gene expression. We identified largely overlapping gene expression changes in boys and girls for thousands of genes over a short time period. For 108 genes we detected gene expression changes associated with pubertal development. Substantial transcriptional changes were detected between pre- and post-menarcheal girls, which suggested a shift from predominantly innate to adaptive immunity as girls sexually matured.We identified genetic effects on gene expression that dynamically change during pubertal development for IGKV1-27 and PGAP1 in males, DSC1 and TRBV30 in females. We discovered that menarche is associated with a change in sign of a genetic effect on the expression of the asthma-associated gene FLOT2. Using a Transcriptome-Wide Association Study approach, we discovered that in girls, gene expression changes during puberty are associated with age at menarche. For example, expression of the endometrial cancer risk gene EEFSEC increases as girls become older, suggesting a link between age at menarche, transcriptional changes happening during puberty and poor health outcomes. These findings shed light on immune gene expression processes accompanying puberty and can advance the understanding of the molecular mechanisms through which pubertal development relates to immune diseases later in life.