Oedaleus asiaticus B. Bienko is a persistent pest occurring in north Asian grasslands. We found that O. asiaticus feeding on Stipa krylovii Roshev. had higher approximate digestibility (AD), efficiency of conversion of ingested food (ECI), and efficiency of conversion of digested food (ECD), compared with cohorts feeding on Leymus chinensis (Trin.) Tzvel, Artemisia frigida Willd., or Cleistogenes squarrosa (Trin.) Keng. Although this indicated high food utilization efficiency for S. krylovii, the physiological processes and molecular mechanisms underlying these biological observations are not well understood. Transcriptome analysis was used to examine how gene expression levels in O. asiaticus gut are altered by feeding on the four plant species. Nymphs (fifth-instar female) that fed on S. krylovii had the largest variation in gene expression profiles, with a total of 88 genes significantly upregulated compared with those feeding on the other three plants, mainly including nutrition digestive genes of protein, carbohydrate, and lipid digestion. GO and KEGG enrichment also showed that feeding S. krylovii could upregulate the nutrition digestion-related molecular function, biological process, and pathways. These changes in transcripts levels indicate that the physiological processes of activating nutrition digestive enzymes and metabolism pathways can well explain the high food utilization of S. krylovii by O. asiaticus.