Heavy metal pollution in freshwater ecosystems is a serious threat to aquatic organisms. Species of Megaloptera are important predators of aquatic invertebrates and have been widely used as bioindicators in assessing the quality of freshwater ecosystems. In this study, we determined the differential gene expression profile of Protohermes costalis (Walker) (Megaloptera: Corydalidae) in response to cadmium (Cd) exposure by using transcriptome analysis. A total of 60,627 unigenes were obtained in the transcriptomes of 150 mg/liter (PL), 1,000 mg/liter (PH) CdCl₂ treatment, and the no Cd control (PC). Differential expression gene (DEG) analysis by pairwise comparison identified 2,794 DEGs after filtering the noninsect genes and repetitive counts. 606 DEGs were shared in comparisons of PL versus PC and PH versus PC, with 165 DEGs consistently up-regulated and 441 down-regulated by both PL and PH. Six heat shock proteins (HSPs) in the HSP70 family were identified in P. costalis and PcosHSP68 was up-regulated by both PL and PH. Real-time quantitative polymerase chain reaction (RT-qPCR) confirmed that the expression levels of PcosHSP68 in PL and PH were higher than that of PC by 31 and 197%, respectively. These results showed that exposure to Cd altered the gene expression profiles of P. costalis and the transcriptome data presented in this study provide insight into future studying on molecular mechanisms of Cd toxicity to these insects.