Malaria parasites are highly virulent pathogens which infect a wide range of vertebrates. Despite their importance, the way different hosts control and suppress malaria infections remains poorly understood. With recent developments in next generation sequencing techniques, however, it is now possible to quantify the response of the entire transcriptome to infections. We experimentally infected Eurasian siskins (Spinus spinus) with avian malaria parasites (Plasmodium ashfordi), and used high-throughput RNA-sequencing to measure the avian transcriptome in blood collected before infection (day 0), during peak parasitemia (day 21 post infection), and when parasitemia was decreasing (day 31). We found considerable differences in the transcriptomes of infected and uninfected individuals, with a large number of genes differentially expressed during both peak and decreasing parasitemia stages. These genes were overrepresented among functions involved in the immune system, stress response, cell death regulation, metabolism, and telomerase activity. Comparative analyses of the differentially expressed genes in our study to those found in other hosts of malaria (human and mouse), revealed a set of genes that are potentially involved in highly conserved evolutionary responses to malaria infection. By using RNA-sequencing we gained a more complete view of the host response, and were able to pinpoint not only well documented host genes, but also unannotated genes with clear significance during infection, such as microRNAs. This study shows how the avian blood transcriptome shifts in response to malaria infection, and we believe it will facilitate further research into the diversity of molecular mechanisms that hosts utilize to fight malaria infections.