Mosquitoes act as vectors of numerous pathogens that cause human diseases. Dengue virus (DENV) transmitted by mosquito, Aedes aegypti, is responsible for dengue fever epidemics worldwide with a serious impact on human health. Currently, disease control mainly relies on vector targeted intervention strategies. Therefore, it is imperative to understand the molecular mechanisms underlying the innate immune response of mosquitoes against pathogens. In the present study, the expression profiles of immunity-related genes in the midgut responding to DENV infection by feeding were analyzed by transcriptome and quantitative real-time PCR. The level of Antimicrobial peptides (AMPs) increased seven days post-infection (d.p.i.), which could be induced by the Toll immune pathway. The expression of reactive oxygen species (ROS) genes, including antioxidant genes, such as HPX7, HPX8A, HPX8B, HPX8C were induced at one d.p.i. and peaked again at ten d.p.i. in the midgut. Interestingly, down-regulation of the antioxidant gene HPX8C by RNA interference led to reduction in the virus titer in the mosquito, probably due to the elevated levels of ROS. Application of a ROS inhibitor and scavenger molecules further established the role of oxygen free radicals in the modulation of the immune response to DENV infection. Overall, our comparative transcriptome analyses provide valuable information about the regulation of immunity related genes in the transmission vector in response to DENV infection. It further allows us to identify novel molecular mechanisms underlying the host-virus interaction, which might aid in the development of novel strategies to control mosquito-borne diseases.