To identify and characterize sexually dimorphic gene expression of the wind-pollinated dioecious plant Mercurialis annua, transcriptome annotation and differential analysis of gene expression from RNA-seq data of RNA samples from either males or females containing leaves and flowers was performed. Out of 69,217 predicted genes, 1247 sex-biased genes were identified, comprising 1137 male-biased genes and 110 female-biased genes. Enrichment analysis of gene ontology (GO) terms in sex-biased genes revealed 85 GO terms which were over-represented in sex-biased genes compared to all genes, with numerous terms directly referring to pollen. The sex-linkage of sex-biased genes was also investigated. Altogether this study provides an important resource for future research on sexual dimorphism in dioecious plants at the molecular level.