Feed conversion ratio (FCR) is an important trait to target in fish breeding programs, and the aim of the present study is to underline how the genetic improvement of FCR in gilthead sea bream (Sparus aurata) drives to changes in transcriptional and behavioural patterns. Groups of fish with high (FCR+) and low (FCR-) individual FCR were established at the juvenile stage (161–315 dph) by rearing isolated fish on a restricted ration. Fish were then grouped on the basis of their individual FCR and they grew up until behavioural monitoring and gene expression analyses were done at 420 dph. The AEFishBIT datalogger (externally attached to operculum) was used for simultaneous measurements of physical activity and ventilation rates. This allowed discrimination of FCR+ and FCR- groups according to their different behaviour and energy partitioning for growth and locomotor activity. Gene expression profiling of liver and white muscle was made using customized PCR-arrays of 44 and 29 genes, respectively. Up to 15 genes were differentially expressed in liver and muscle tissues highlighting a different metabolic scope of FCR+ and FCR- fish. Hepatic gene expression profile of FCR- fish displayed a lower lipogenic activity that was concurrent with a down-regulation of markers of mitochondrial activity and oxidative stress, as well as a reallocation of body fat depots with an enhanced flux of lipids towards skeletal muscle. Muscle gene expression profile of FCR- fish matched with stimulatory and inhibitory growth signals, and an activation of energy sensors and antioxidant defence as part of the operating mechanisms for a more efficient muscle growth. These new insights contribute to phenotype the genetically mediated differences in fish FCR thanks to the combination of transcriptomic and behavioural approaches that contribute to better understand the mechanisms involved in a reliable FCR improvement of farmed gilthead sea bream.