The harlequin ladybird, Harmonia axyridis Pallas (Coleoptera: Coccinellidae), is a generalist predator and an effective biocontrol agent of various insect pests that has been exploited for the control of aphid pests in the greenhouse and field. However, insecticides are widely used to control aphid pests worldwide and the potential non-target effects of sulfoxaflor and imidacloprid for controlling aphid pests towards this biocontrol agent are little known. Although both sulfoxaflor and imidacloprid act on nicotinic acetylcholine receptors of insects, sulfoxaflor has a novel chemical structure compared with neonicotinoids. We assessed the lethal, sublethal and transgenerational effects of sulfoxaflor and imidacloprid on H. axyridis simultaneously exposed via ingestion of contaminated prey and via residual contact on the host plant at LC20 and LC50 doses estimated for the cotton aphid. Imidacloprid significantly reduced the survival of H. axyridis adults compared to sulfoxaflor at the same lethal concentration against cotton aphid. Both concentrations of imidacloprid and sulfoxaflor reduced the proportion of ovipositing females, and both concentrations of imidacloprid and sulfoxaflor, except LC20 dose of sulfoxaflor, reduced the fecundity and fertility of the parental generation. In the progeny of imidacloprid- and sulfoxaflor-exposed parents, both tested LC50 concentrations significantly decreased the juvenile survival rate, and both concentrations of imidacloprid and sulfoxaflor, except LC20 dose of sulfoxaflor, prolonged the development time. Our findings provide evidence of the negative influence of imidacloprid and sulfoxaflor at low lethal concentrations on the harlequin ladybird and on the progeny of exposed individuals, i.e., transgenerational effects. Hence, these findings stress the importance of optimizing the applications of imidacloprid and sulfoxaflor for the control of aphid pests, aiming at preserving the biocontrol services provided by H. axyridis throughout the integrated pest management approach.