In many species, males and females display differences in their physiology that are not limited to the gonads. Sex differences in adult insects can comprise body size and feeding behaviour, as only female, but not male mosquitoes are blood-feeding in order to produce eggs. This is relevant since the malaria-causing parasite Plasmodium is transmitted by a female mosquito through a previous blood meal from an infected individual. The initiation of sex-specific developmental programs can be often linked to heteromorphic sex chromosomes (XX/XY in Anopheles). In males, the X-linked genes are only present in a single copy. To counteract this hemizygosity, Anopheles, like other species, exhibits dosage compensation (DC). Anopheles DC manifests by upregulation of the single male X ensuring the equal expression of sex-chromosomal genes between males and females. To date, the sex-specific differences at the transcriptome level related to the X/Y chromosomes and DC have been characterized at post-embryonic stages. Their onset during embryogenesis, especially during the early stages where the embryo switches from the maternal to the zygotic transcriptome, is largely uncharacterized to date. Here, we generate a sex-specific transcriptome atlas across Anopheles embryogenesis ending at the first larval stage. Along with the transition from the maternal to the zygotic transcriptome, many transcripts switch isoform, where the 3’ untranslated regions (UTR) of zygotic transcripts are significantly extended compared to their maternal counterpart. We also identify stage- and sex-specific splicing events. Comparing male and female embryos, we identify 120 sexually dimorphic protein coding genes and non-coding RNAs, indicating that sexually dimorphic gene expression is not widespread during embryogenesis. Furthermore, the imbalance of X-linked genes between males and females after zygotic genome activation is corrected shortly after, where the majority of genes exhibit DC around 9 hours of embryogenesis with further fine-tuning later in development. Our atlas provides a framework to explore sex differences in development and evolution and thereby, enables future functional analyses of sex-specific expression patterns and isoform usage. Overall design: Poly(A) stranded mRNA sequencing of single embryos of predetermined sex (males and females) collected at different time points of embryonic development and upon the completion of embryonic development (L1 larvae). Biological replicates are included.