Pennisetum setaceum 'Rubrum' is an ornamental grass plant that produces purple leaves in high-light environments and light purple or green leaves in low-light environments, the latter of which greatly reduces its aesthetic appeal. Therefore, we aimed to identify the key genes associated with leaf coloration and elucidate the molecular mechanisms involved in the color changes in P. setaceum 'Rubrum' leaves. We performed transcriptome sequencing of P. setaceum 'Rubrum' leaves before and after shading. A total of 19,043 differentially expressed genes were identified, and the numbers of upregulated and downregulated genes at T1 stage, when compared with their expression at the T0 stage, were 10,761 and 8,642, respectively. The possible pathways that determine P. setaceum 'Rubrum' leaf color included flavonoid biosynthesis, flavone and flavonol biosynthesis, and carotenoid biosynthesis. There were 31 differentially expressed genes related to chlorophyll metabolism, of which 21 were related to chlorophyll biosynthesis and 10 to chlorophyll degradation, as well as three transcription factors that may be involved in the regulation of chlorophyll degradation. There were 31 key enzyme genes involved in anthocyanin synthesis and accumulation in P. setaceum 'Rubrum' leaves, with four transcription factors that may be involved in the regulation of anthocyanin metabolism. The transcriptome data were verified and confirmed reliable by real-time fluorescence quantitative PCR analysis. These findings provide a genetic basis for improving leaf color in P. setaceum 'Rubrum.'