The molecular mechanism underlying sex determination and gonadal differentiation of the mud crab (Scylla paramamosain) has received considerable attention, due to the remarkably biological and economic differences between sexes. However, sex-biased genes, especially non-coding genes, which account for these differences, remain elusive in this crustacean species. In this study, the first de novo gonad transcriptome sequencing was performed to identify both differentially expressed genes and long non-coding RNAs (lncRNAs) between male and female S. paramamosain by using Illumina Hiseq2500. A total of 79,282,758 and 79,854,234 reads were generated from ovarian and testicular cDNA libraries, respectively. After filtrating and de novo assembly, 262,688 unigenes were produced from both libraries. Of these unigenes, 41,125 were annotated with known protein sequences in public databases. Homologous genes involved in sex determination and gonadal development pathways (Sxl-Tra/Tra-2-Dsx/Fru, Wnt4, thyroid hormone synthesis pathway, etc.) were identified. Three hundred and sixteen differentially expressed unigenes were further identified between both transcriptomes. Meanwhile, a total of 233,078 putative lncRNAs were predicted. Of these lncRNAs, 147 were differentially expressed between sexes. qRT-PCR results showed that nine lncRNAs negatively regulated the expression of eight genes, suggesting a potential role in sex differentiation. These findings will provide fundamental resources for further investigation on sex differentiation and regulatory mechanism in crustaceans.