Insects interact with their environment and respond to the changes in host plant conditions using semiochemicals. Such ecological interactions are facilitated by the olfactory sensilla and the use of olfactory recognition proteins. The cotton aphid Aphis gossypii can change its phenotype in response to ecological conditions. They reproduce mainly as wingless asexual morphs but develop wings to find mates or new plant hosts under the influence of environmental factors such as temperature, plant nutrition and population density. Two groups of small soluble proteins, odorant binding proteins (OBPs) and chemosensory proteins (CSPs) are believed to be involved in the initial biochemical recognition steps in semiochemical perception. However, the exact molecular roles that these proteins play in insect olfaction remain to be discovered. In this study, we compared the transcriptomes of three asexual developmental stages (wingless spring and summer morphs and winged adults) and characterised 9 OBP and 9 CSP genes. The gene structure analysis showed that the number and length of introns in these genes are much higher and this appears to be unique feature of aphid OBP and CSP genes in general. Another unique feature in aphids is a higher abundance of CSP transcripts than OBP transcripts, suggesting an important role of CSPs in aphid physiology and ecology. We showed that some of the transcripts are overexpressed in the antennae in comparison to the bodies and highly expressed in the winged aphids compared to wingless morphs, suggesting a role in host location. We examined the differential expression of these olfactory genes in ten aphid species and compared the expression profile with the RNA-seq analyses of 25 pea aphid transcriptome libraries hosted on AphidBase.