Yellow (stripe) rust caused by Puccinia striiformis f. sp. tritici (Pst) is a major destructive fungal disease of small grain cereals, leading to large yield losses. The breeding of resistant varieties is an effective, sustainable way to control yellow rust. Elucidation of resistance mechanisms against yellow rust and identification of candidate genes associated with rust resistance are thus crucial. In this study, seedlings of two Triticosecale Wittmack cultivars, highly resistant Gannong No. 2 and susceptible Shida No. 1, were inoculated with Pst race CYR34. Transcriptome sequencing (RNA-seq) was then used to investigate their transcriptional responses against pathogen infection before and after the appearance of symptoms—10 and 20 days after inoculation, respectively. According to the RNA-seq data, the number of upregulated and downregulated differentially expressed genes (DEGs) in the resistant cultivar was greater than in the susceptible cultivar. A total of 2,560 DEGs commonly expressed in the two cultivars on two sampling dates were subjected to pathway analysis, which revealed that most DEGs were closely associated with defense and metabolic activities. Transcription factor enrichment analysis indicated that the expressions of NAC, WRKY, and FAR1 families were also significantly changed. Further in-depth analysis of resistance genes revealed that almost all serine/threonine-protein kinases were upregulated in the resistant cultivar. Other genes related to disease resistance, such as those encoding disease-resistance- and pathogenesis-related proteins were differentially regulated in the two cultivars. Our findings can serve as a resource for gene discovery and facilitate elucidation of the complex defense mechanisms involved in triticale resistance to Pst.