The oriental fruit fly, Bactrocera dorsalis (Hendel), is one of the most devastating and highly invasive agricultural pests world-wide, resulting in severe economic loss. Thus, it is of great interest to understand the transcriptional changes that occur during the activation of its zygotic genome at the early stages of embryonic development, especially the expression of genes involved in sex determination and the cellularization processes. In this study, we applied Illumina sequencing to identify B. dorsalis sex determination genes and early zygotic genes by analyzing transcripts from three early embryonic stages at 0–1, 2–4, and 5–8 h post-oviposition, which include the initiation of sex determination and cellularization. These tests generated 13,489 unigenes with an average length of 2185 bp. In total, 1683, 3201 and 3134 unigenes had significant changes in expression levels at times after oviposition including at 2–4 h versus 0–1 h, 5–8 h versus 0–1 h, and 5–8 h versus 2–4 h, respectively. Clusters of gene orthology (GO) and the Kyoto Encyclopedia of Genes and Genomes (KEGG) annotations were performed throughout embryonic development to better understand the functions of differentially expressed unigenes. We observed that the RNA binding and spliceosome pathways were highly enriched and overrepresented during the early stage of embryogenesis. Additionally, transcripts for 21 sex-determination and three cellularization genes were identified, and expression pattern analysis revealed that the majority of these genes were highly expressed during embryogenesis. This study is the first assembly performed for B. dorsalis based on Illumina next-generation sequencing technology during embryogenesis. Our data should contribute significantly to the fundamental understanding of sex determination and early embryogenesis in tephritid fruit flies, and provide gene promoter and effector gene candidates for transgenic pest-management strategies for these economically important species.