To enrich our knowledge of carbon dioxide (CO2)-concentrating mechanism (CCM) in eukaryotic algae, we used high-throughput sequencing to investigate the transcriptome profiling of the microalga Chlorella pyrenoidosa (Chlorophyta) response to different CO2 levels. Altogether, 53.86 million (M) and 62.10M clean short reads of 100 nucleotides (nt) were generated from this microalga cultured at 4-fold air CO2 (control) and air CO2 concentrations by Illumina sequencing. A total of 32,662 unigenes were assembled from the two pooled samples. With an E-value cut-off of 1e-5, 9590, 6782, 5954, and 9092 unigenes were annotated in NR, Gene Ontology (GO), Eukaryotic Cluster of Orthologous Groups of proteins (KOG), and Kyoto Encyclopedia of Genes and Genomes (KEGG) databases, respectively. After screening, 51 differentially expressed unigenes were up-regulated and 8 were down-regulated in the air CO2 group, relative to the control. The transcript levels of eight differentially expressed unigenes were validated by real-time quantitative PCR, which manifested that thioredoxin-like protein, laminin subunit beta-1, and chlorophyll a/b binding protein might be associated with the utilization of inorganic carbon at low CO2 levels.