Copepods are fundamental components of zooplankton and aquatic pelagic food webs, but reports on molecular responses linked to harmful phytoplankton species are still scarce. We present the de novo transcriptome of Calanus helgolandicus females feeding on the oxylipin-producing diatom Skeletonema marinoi. Differential expression analysis was also performed between copepod females exposed to the diatom and the control dinoflagellate Prorocentrum minimum, which does not produce oxylipins. Key transcripts involved in metabolism of carbohydrate, amino acids, folate and methionine, as well as in embryogenesis, signaling and response to stimulus, were differentially expressed in the two conditions. Expression levels of selected genes belonging to these functional categories were also analyzed by RT-qPCR in C. helgolandicus females exposed to the oxylipins polyunsaturated aldehydes (PUAs) heptadienal and octadienal. The results confirmed RNA-Seq and differential expression analysis. Our results offer new insights on the mechanism of action of oxylipins on maternally-induced embryo abnormality and may also help identify biomarker genes associated to diatom-related reproductive failure in natural copepod population at sea.