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Predation risk induces broad behavioral and physiological responses that have traditionally been considered acute and transitory. However, prolonged or frequent exposure to predators and the sensory cues of their presence they broadcast to the environment impact long-term prey physiology and demographics. Though several studies have assessed acute and chronic stress responses in varied taxa, these attempts have often involved a priori expectations of the molecular pathways involved in physiological responses, such as glucocorticoid pathways and neurohormone production in vertebrates. While relatively little is known about physiological and molecular predator-induced stress in insects, many dramatic insect defensive behaviors have evolved to combat selection by predators. For instance, several moth families, such as Noctuidae, include members equipped with tympanic organs that allow the perception of ultrasonic bat calls and facilitate predation avoidance by eliciting evasive aerial flight maneuvers. In this study, we exposed adult male fall armyworm (Spodoptera frugiperda) moths to recorded ultrasonic bat foraging and attack calls for a prolonged period and constructed a de novo transcriptome based on brain tissue from predator cue-exposed relative to control moths kept in silence. Differential expression analysis revealed that 290 transcripts were highly up- or down-regulated among treatment tissues, with many annotating to noteworthy proteins, including a heat shock protein and an antioxidant enzyme involved in cellular stress. Though nearly 50% of differentially expressed transcripts were unannotated, those that were are implied in a broad range of cellular functions within the insect brain, including neurotransmitter metabolism, ionotropic receptor expression, mitochondrial metabolism, heat shock protein activity, antioxidant enzyme activity, actin cytoskeleton dynamics, chromatin binding, methylation, axonal guidance, cilia development, and several signaling pathways. The five most significantly overrepresented Gene Ontology terms included chromatin binding, macromolecular complex binding, glutamate synthase activity, glutamate metabolic process, and glutamate biosynthetic process. As a first assessment of transcriptional responses to ecologically relevant auditory predator cues in the brain of moth prey, this study lays the foundation for examining the influence of these differentially expressed transcripts on insect behavior, physiology, and life history within the framework of predation risk, as observed in ultrasound-sensitive Lepidoptera and other ‘eared’ insects.