Understanding the genetic basis of local adaptation has long been the focus of evolutionary biology. Recently there has been increased interest in deciphering the evolutionary role of Daphnia’s plasticity and the molecular mechanisms of local adaptation. Using transcriptome data, we assessed the differences in gene expression profiles and sequences within and between four European Daphnia galeata populations. To distinguish neutral from adaptive differentiation, we corrected for phylogenetic differentiation of Daphnia populations. We also applied a “transcriptome scan” approach to investigate the role of natural selection in shaping divergent expression profiles among populations. Furthermore, a SNP analysis allowed inferring population structure and the distribution of genetic variation. Using sequence information, the transcripts were annotated using a comparative genomics approach. In total, ~33% of 32903 transcripts were differentially expressed between populations. Among 10280 differentially expressed transcripts, 5209 transcripts deviated from neutral expectations and were likely involved in local adaptation. The population divergence at the sequence level was higher than at the gene expression level by several orders of magnitude and revealed very distinct clusters according to population origin. Our analysis revealed the respective roles of genetic drift and selection in the four Daphnia populations. This study is a first attempt to understand the genetic background of adaptation to environmental changes in a key species of aquatic ecosystems in absence of any laboratory induced stressor.