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Dosage compensation is the fundamental process by which gene expression from the male monosomic X chromosome and from the diploid set of autosomes is equalized. Various molecular mechanisms have evolved in different organisms to achieve this task. In Drosophila, genes on the male X chromosome are upregulated to the levels of expression from the two X chromosomes in females. To test whether a similar mechanism is operating in immature stages of Anopheles mosquitoes, we analyzed global gene expression in the Anopheles gambiae fourth instar larvae and pupae using high-coverage RNA-seq data. In pupae of both sexes, the median expression ratios of X-linked to autosomal genes (X:A) were close to 1.0, and within the ranges of expression ratios between the autosomal pairs, consistent with complete compensation. Gene-by-gene comparisons of expression in males and females revealed mild female bias, likely attributable to a deficit of male-biased X-linked genes. In larvae, male to female ratios of the X chromosome expression levels were more female biased than in pupae, suggesting that compensation may not be complete. No compensation mechanism appears to operate in male germline of early pupae. Confirmation of the existence of dosage compensation in A. gambiae lays the foundation for research into the components of dosage compensation machinery in this important vector species.