Sexually dimorphic traits are common in sexually reproducing organisms and can be encoded by differential gene regulation between males and females. Although alternative splicing is common mechanism in generating transcriptional diversity, its role in generating sex differences relative to differential gene expression is less clear. Here, we investigate the relative roles of differential gene expression and alternative splicing between male and female the horseshoe bat species, Rhinolophus sinicus. Horseshoe bats are an excellent model to study acoustic differences between sexes. Using RNA-seq analyses of two somatic tissues (brain and liver) from males and females of the same population, we identified 3,471 and 2,208 differentially expressed genes between the sexes (DEGs) in the brain and liver, respectively. DEGs were enriched with functional categories associated with physiological difference of the sexes (e.g.,gamete generation and energy production for reproduction in females). In addition, we also detected many differentially spliced genes between the sexes (DSGs, 2,231 and 1,027 in the brain and liver, respectively) which were mainly involved in regulation of RNA splicing and mRNA metabolic process. Interestingly, we found a significant enrichment of DEGs on the X chromosome, but not for DSGs. As for the extent of overlap between the two sets of genes, more than expected overlap of DEGs and DSGs was observed in the brain but not in the liver. This suggests that more complex tissues, such as the brain, may require the intricate and simultaneous interplay of both differential gene expression and splicing of genes to govern sex-specific functions. Overall, our results support that variation in gene expression and alternative splicing are important and complementary mechanisms governing sex differences.