There is increasing evidence for the co-occurrence of adaptive within-generation (WGP) and transgenerational (TGP) plasticity and the ecological scenarios driving both types of plasticity. However, some aspects of their transcriptional mechanisms, such as the role of alternative splicing and the gene regulation involved in the compensatory effect of parental acclimation on the offspring’s fitness in relation to life stages, have remained elusive. We explore these fundamental questions by considering the desert endemic Drosophila mojavensis for which prior evidence indicates adaptive thermal acclimation within and across generations. We implement a full factorial design to estimate genome-wide patterns of differential gene expression (DE) and alternative splicing (AS) in response to acclimation treatments performed in the parental and offspring generations, as well as considering larva and adult stages. Our results demonstrate that mechanisms of alternative splicing represent a substantial difference between WGP and TGP. These mechanisms contribute substantially to transcriptional plasticity within generations but not across generations. We found a great number of genes associated with transcriptional TGP, which is exclusive to larva stages and not adult samples. Finally, we provide evidence demonstrating that parental acclimation in TGP triggers a great number of the same genes normally down-regulated in WGP. Thus, parental acclimation appears to compensate for the down-regulation of genes during thermal stress in the offspring generation. This result might be one of the mechanisms explaining the compensatory effect of parental acclimation in the offspring generation.