Seedlessness is a desirable character in lemons and other citrus species. Seedless fruit can be induced in many ways, including through self-incompatibility (SI). SI is widely used as an intraspecific reproductive barrier that prevents self-fertilization in flowering plants. Although there have been many studies on SI, its mechanism remains unclear. The 'Xiangshui' lemon is an important seedless cultivar whose seedlessness has been caused by SI. It is essential to identify genes involved in SI in 'Xiangshui' lemon to clarify its molecular mechanism. In this study, candidate genes associated with SI were identified using high-throughput Illumina RNA sequencing (RNA-seq). A total of 61,224 unigenes were obtained (average, 948 bp; N50 of 1,457 bp), among which 47,260 unigenes were annotated by comparison to six public databases (Nr, Nt, Swiss-Prot, KEGG, COG, and GO). Differentially expressed genes were identified by comparing the transcriptomes of no-, self-, and cross-pollinated stigmas with styles of the 'Xiangshui' lemon. Several differentially expressed genes that might be associated with SI were identified, such as those involved in pollen tube growth, programmed cell death, signal transduction, and transcription. NADPH oxidase genes associated with apoptosis were highly upregulated in the self-pollinated transcriptome. The expression pattern of 12 genes was analyzed by quantitative real-time polymerase chain reaction. A putative S-RNase gene was identified that had not been previously associated with self-pollen rejection in lemon or citrus. This study provided a transcriptome dataset for further studies of SI and seedless lemon breeding.