Morels are some of the most highly prized edible and medicinal mushrooms, with great economic and scientific value. Outdoor cultivation has been achieved and expanded on a large scale in China in recent years. Sclerotial formation is one of the most important phases during the morel life cycle, and previous reports indicated that reactive oxygen species (ROS) play an important role. However, ROS response mechanisms at sclerotial initiation (SI) stage are poorly understood. In this study, comparative transcriptome analyses were performed with sclerotial and hyphal cells at different areas in the same plate at SI stage. Gene expression was significantly different at SI stage between sclerotial formation and mycelia growth areas. GO and KEGG analyses indicated more vigorous metabolic characteristics in the hyphae area, while transcription process, DNA repair, and protein processing were enriched in sclerotial cells. Gene expression related to H2O2 production was high in the hyphae area, while expression of H2O2-scavenging genes was high in sclerotial cells, leading to a higher H2O2 concentration in the hyphal region than in the sclerotium. Minor differences were observed in gene expression of H2O2-induced signaling pathway in sclerotial and hyphal cells; however, expression levels of the target genes of transcription factor MSN2, important in the H2O2-induced signaling pathways, were significantly different. MSN2 enhanced stress response regulation in sclerotia by regulating these target genes. Small molecular HSPs were also found upregulated in sclerotial cells. This study indicated that sclerotial cells are more resistant to ROS stress than hyphal cells through transcriptional regulation of related genes.