UV-B radiation is one of the major environmental stresses that triggers a variety of plant responses. However, limited information is available regarding plant biological reactions which help to circumvent the potentially harmful effects of UV-B radiation in lettuce (Lactuca sativa L.). In addition, leaf color is one of the most important economic traits of lettuce. The coloration of lettuce is mainly attributed to anthocyanins. Little is currently known about the correlation between anthocyanin biosynthesis and UV-B radiation in lettuce. Therefore, a comprehensive investigation of plant responses to UV-B radiation is critical for explaining the physiological and morphological alterations and revealing the key roles of UV-B in promoting anthocyanin biosynthesis in lettuce. In this study, RNA-seq was performed using the next-generation Illumina HiSeq™ 2000 sequencing platform and de novo assembly based on eight cDNA libraries of lettuce (Lactuca sativa L. cv. Shenxuan 5, a purple leaf cultivar) under UV-B-free and UV-B-stressed conditions. Over 382 million high-quality reads were assembled into 88,978 unigenes using a combined assembly strategy. Then a total of 69,397 (77.99%) unigenes were annotated based on at least one public database using homology searches. The transcriptome analysis identified a lot of genes differentially expressed in response to UV-B radiation. In particular, several anthocyanin biosynthetic genes were actively regulated by UV-B radiation. The expression patterns of unigenes encoding cinnamate-4-hydroxylase (C4H), 4-coumarate-CoA ligase (4CL), chalcone synthase (CHS), flavonol synthase (FLS), and dihydroflavonol reductase (DFR) differed between samples. This study represents the first investigation of the transcriptome of lettuce under UV-B radiation. The comparative bioinformatics analysis expands our understanding of plant responses to UV-B stress and its role in leaf coloration of lettuce. Our research also provides a bridge to extend studies to other economically important crops.