Teleost fish exhibit remarkable sexual plasticity and divergent developmental systems, including sequential hermaphroditism. One of the more fascinating models of sexual plasticity is socially controlled sex change, which is often observed in coral reef fish. The Okinawa rubble goby, Trimma okinawae, is a bi-directional sex-changing fish. It can rapidly change sex in either direction based on social circumstances. Although behavioural and neuroendocrine sex change occurs immediately and is believed to trigger gonadal changes, the underlying mechanisms remain poorly understood. In this study, we conducted a de novo transcriptome analysis of the T. okinawae brain and identified genes that are differentially expressed between the sexes and genes that were immediately controlled by social stimulation implicating sex change. Several genes showed concordant expression shifts regardless of the sex change direction and were associated with histone modification in nerve cells. These genes are known to function in the neuroendocrine control of reproduction in nerve cells. Overall, we identified genes associated with the initiation of sex change, which provides insight into the regulation of sex change and sexual plasticity.