Congenital infection caused by vertical transmission of microsporidia N. bombycis can result in severe economic losses in the silkworm-rearing industry. Whole-transcriptome analyses have revealed non-coding RNAs and their regulatory networks in N. bombycis infected embryos and larvae. However, transcriptomic changes in the microsporidia proliferation and host responses in congenitally infected embryos and larvae remains unclear. Here, we simultaneously compared the transcriptomes of N. bombycis and its host B. mori embryos of 5-day and larvae of 1-, 5- and 10-day during congenital infection. For the transcriptome of N. bombycis, a comparison of parasite expression patterns between congenital-infected embryos and larva showed most genes related to parasite central carbon metabolism were down-regulated in larvae during infection, whereas the majority of genes involved in parasite proliferation and growth were up-regulated. Interestingly, a large number of distinct or shared differentially expressed genes (DEGs) were revealed by the Venn diagram and heat map, many of them were connected to infection related factors such as Ricin B lectin, spore wall protein, polar tube protein, and polysaccharide deacetylase. For the transcriptome of B. mori infected with N. bombycis, beyond numerous DEGs related to DNA replication and repair, mRNA surveillance pathway, RNA transport, protein biosynthesis, and proteolysis, with the progression of infection, a large number of DEGs related to immune and infection pathways, including phagocytosis, apoptosis, TNF, Toll-like receptor, NF-kappa B, Fc epsilon RI, and some diseases, were successively identified. In contrast, most genes associated with the insulin signaling pathway, 2-oxacarboxylic acid metabolism, amino acid biosynthesis, and lipid metabolisms were up-regulated in larvae compared to those in embryos. Furthermore, dozens of distinct and three shared DEGs that were involved in the epigenetic regulations, such as polycomb, histone-lysine-specific demethylases, and histone-lysine-N-methyltransferases, were identified via the Venn diagram and heat maps. Notably, many DEGs of host and parasite associated with lipid-related metabolisms were verified by RT-qPCR. Taken together, simultaneous transcriptomic analyses of both host and parasite genes lead to a better understanding of changes in the microsporidia proliferation and host responses in embryos and larvae in N. bombycis congenital infection.