Determining the mechanisms by which genes are switched on and off during development is a key aim of current biomedical research. Gene transcription has been widely observed to occur in a discontinuous fashion, with short bursts of activity interspersed with periods of inactivity. It is currently not known if or how this dynamic behaviour changes as mammalian cells differentiate. To investigate this, using an on-microscope analysis, we monitored mouse α-globin transcription in live cells throughout erythropoiesis. We find that changes in the overall levels of α-globin transcription are most closely associated with changes in the fraction of time a gene spends in the active transcriptional state. We identify differences in the patterns of transcriptional bursting throughout differentiation, with maximal transcriptional activity occurring in the mid-phase of differentiation. Early in differentiation, we observe increased fluctuation in transcriptional activity whereas at the peak of gene expression, in early erythroblasts, transcription is relatively stable. Later during differentiation as α-globin expression declines, we again observe more variability in transcription within individual cells. We propose that the observed changes in transcriptional behaviour may reflect changes in the stability of active transcriptional compartments as gene expression is regulated during differentiation.