Paranosema locustae is an environmentally friendly parasitic predator with promising applications in locust control. In this study, transcriptome sequencing was conducted on gonadal tissues of Locusta migratoria males and females infected and uninfected with P. locustae at different developmental stages. A total of 18,635 differentially expressed genes (DEGs) were identified in female ovary tissue transcriptomes, with the highest number of DEGs observed at 1 day post-eclosion (7141). In male testis tissue transcriptomes, a total of 32,954 DEGs were identified, with the highest number observed at 9 days post-eclosion (11,245). Venn analysis revealed 25 common DEGs among female groups and 205 common DEGs among male groups. Gene ontology and Kyoto Encyclopaedia of Genes and Genome analyses indicated that DEGs were mainly enriched in basic metabolism such as amino acid metabolism, carbohydrate metabolism, lipid metabolism, and immune response processes. Protein–protein interaction analysis results indicated that L. migratoria regulates the expression of immune- and reproductive-related genes to meet the body's demands in different developmental stages after P. locustae infection. Immune- and reproductive-related genes in L. migratoria gonadal tissue were screened based on database annotation information and relevant literature. Genes such as Tsf, Hex1, Apolp-III, Serpin, Defense, Hsp70, Hsp90, JHBP, JHE, JHEH1, JHAMT, and VgR play important roles in the balance between immune response and reproduction in gonadal tissues. For transcriptome validation, Tsf, Hex1, and ApoLp-III were selected and verified by quantitative real-time polymerase chain reaction (qRT-PCR). Correlation analysis revealed that the qRT-PCR expression patterns were consistent with the RNA-Seq results. These findings contribute to further understanding the interaction mechanisms between locusts and P. locustae.