Aphids produce wing and wingless morphs, depending on the environmental conditions during their complex life cycles. Wing and wingless variations play an important role in migration and host alternation, affecting the migration and host alternation processes. Several transcriptional studies have concentrated on aphids and sought to determine how an organism perceives environmental cues and responds in a plastic manner, but the underlying mechanisms have remained unclear. Therefore, to better understand the molecular mechanisms underlying the wing polyphenism of this fascinating phenomenon, we provide the first report concerning the wing development of aphids in bird cherry-oat aphid Rhopalosiphum padi with comparative transcriptional analysis of all the developmental stages by RNA-Seq. We identified several candidate genes related to biogenic amines and hormones that may be specifically involved in wing development. Moreover, we found that the third instar stage might be a critical stage for visibility of alternative morphs as well as changes in the expression of thirty-three genes associated with wing development. Several genes, i.e., Wnt2, Fng, Uba1, Hh, Foxo, Dpp, Brk, Ap, Dll, Hth, Tsh, Nub, Scr, Antp, Ubx, Asc, Srf and Fl, had different expression levels in different developmental stages and may play important roles in regulating wing polyphenism.