Pest damage causes important decrease in crop yield every year all over the world, particularly by Lepidoptera. Characterization of the antennal proteins implicated in the reproduction of Lepidoptera will help to develop new methods for pest management and contribute to sustainable agriculture and biodiversity maintenance. We present herein the characterization of some antennal proteins of Sesamia nonagrioides by proteomic techniques such as two-dimensional electrophoresis, MALDI-TOF MS, and electrospray ionization tandem mass spectrometry (ESI-MS/MS). The antennal proteins expressed in both sexes were analyzed and more than 800 spots were detected, finding 16 proteins differentially expressed between males and females. Most of the identified proteins were involved in olfaction. High levels of pheromone binding proteins (PBP1 and PBP2) were found as expected in males, but also in female antennae, although females did not electrophysiologically respond to their own pheromone. General odorant binding proteins (GOBP1 and GOBP2) were preferentially expressed in females but high levels were also detected in males. The expression was remarkably high in both sexes along the complete photoperiod. A sensitive proteomic methodology was developed to identify antennal proteins.