Mycoplasma agalactiae is a worldwide serious pathogen of small ruminants that usually spreads through the mammary route causing acute to subacute mastitis progressing to chronic persistent disease that is hard to eradicate. Knowledge of mechanisms of its pathogenesis and persistence in the mammary gland are still insufficient, especially the host-pathogen interplay that enables it to reside in a chronic subclinical state. This study reports transcriptome profiling of mammary tissue from udders of sheep experimentally infected with M. agalactiae type strain PG2 in comparison with uninfected control animals using Illumina RNA-sequencing (RNA-Seq). Several differentially expressed genes (DEGs) were observed in the infected udders and RT-qPCR analyses of selected DEGs showed their expression profiles to be in agreement with results from RNA-Seq. Gene Ontology (GO) analysis revealed majority of the DEGs to be associated with mycoplasma defense responses that are directly or indirectly involved in host innate and adaptive immune responses. Similar RNA-Seq analyses were also performed with spleen cells of the same sheep to know the specific systemic transcriptome responses. Spleen cells exhibited a comparatively lower number of DEGs suggesting a less prominent host response in this organ. To our knowledge this is the first study that describes host transcriptomics of M. agalactiae infection and the related immune-inflammatory responses. The data provides useful information to further dissect the molecular genetic mechanisms underlying mycoplasma mastitis, which is a prerequisite for designing effective intervention strategies.