Larvae of Melanotus cribricollis, feed on bamboo shoots and roots, causing serious damage to bamboo in Southern China. However, there is currently no effective control measure to limit the population of this underground pest. Previously, a new entomopathogenic fungal strain isolated from M. cribricollis larvae cadavers named Metarhizium pingshaense WP08 showed high pathogenic efficacy indoors, indicated that the fungus could be used as a bio-control measure. So far, the genetic backgrounds of both M. cribricollis and M. pingshaense WP08 were blank. Here, we analyzed the whole transcriptome of M. cribricollis larvae, infected with M. pingshaense WP08 or not, using high-throughput next generation sequencing technology. In addition, the transcriptome sequencing of M. pingshaense WP08 was also performed for data separation of those two non-model species. The reliability of the RNA-Seq data was also validated through qRT-PCR experiment. The de novo assembly, functional annotation, sequence comparison of four insect species, and analysis of DEGs, enriched pathways, GO terms and immune related candidate genes were operated. The results indicated that, multiple defense mechanisms of M. cribricollis larvae are initiated to protect against the more serious negative effects caused by fungal infection. To our knowledge, this was the first report of transcriptome analysis of Melanotus spp. infected with a fungus, and it could provide insights to further explore insect–fungi interaction mechanisms.