Distinct patterns of gene expression often underlie intra‐ and intersexual differences, and the study of this set of coregulated genes is essential to understand the emergence of complex behavioural phenotypes. Here, we describe the development of a de novo transcriptome and brain gene expression profiles of wild‐caught peacock blenny, Salaria pavo, an intertidal fish with sex‐role reversal in courtship behaviour (i.e., females are the courting sex) and sequential alternative reproductive tactics in males (i.e., larger and older nest‐holder males and smaller and younger sneaker males occur). Sneakers mimic both female's courtship behaviour and nuptial coloration to get access to nests and sneak fertilizations, and later in life transition into nest‐holder males. Thus, this species offers the unique opportunity to study how the regulation of gene expression can contribute to intersex phenotypes and to the sequential expression of male and female behavioural phenotypes by the same individual. We found that at the whole brain level, expression of the sneaker tactic was paralleled by broader and divergent gene expression when compared to either females or nest‐holder males, which were more similar between themselves. When looking at sex‐biased transcripts, sneaker males are intersex rather than being either nest‐holder or female‐like, and their transcriptome is simultaneously demasculinized for nest‐holder‐biased transcripts and feminized for female‐biased transcripts. These results indicate that evolutionary changes in reproductive plasticity can be achieved through regulation of gene expression, and in particular by varying the magnitude of expression of sex‐biased genes, throughout the lifetime of the same individual.