Reversible phosphorylation of proteins is an important process modulating cellular activities from upstream, which mainly involves sequential phosphorylation of signaling molecules, to downstream where phosphorylation of transcription factors regulates gene expression. In this study, we combined quantitative labeling with multidimensional liquid chromatography-mass spectrometry to monitor the proteome and phosphoproteome changes in the initial period of adipocyte differentiation. The phosphorylation level of a specific protein may be regulated by a kinase or phosphatase without involvement of gene expression or as a phenomenon that accompanies the alteration of its gene expression. Concurrent quantification of phosphopeptides and non-phosphorylated peptides makes it possible to differentiate cellular phosphorylation changes at these two levels. Furthermore, on the system level, certain proteins were predicted as the targeted gene products regulated by identified transcription factors. Among them, several proteins showed significant expression changes along with the phosphorylation alteration of their transcription factors. This is to date the first work to concurrently quantify proteome and phosphoproteome changes during the initial period of adipocyte differentiation, providing an approach to reveal the system-wide association of protein phosphorylation and gene expression.