Aphids present an ideal system to study epigenetics as they can produce diverse, but genetically identical, morphs in response to environmental stimuli. Here, using whole genome bisulphite sequencing and transcriptome sequencing of the green peach aphid (Myzus persicae), we present the first detailed analysis of cytosine methylation in an aphid and investigate differences in the methylation and transcriptional landscapes of male and asexual female morphs. We find that methylation primarily occurs in a CG dinucleotide (CpG) context and that exons are highly enriched for methylated CpGs, particularly at the 3' end of genes. Methylation is positively associated with gene expression, and methylated genes are more stably expressed than un-methylated genes. Male and asexual female morphs have distinct methylation profiles. Strikingly, these profiles are divergent between the sex chromosome and the autosomes; autosomal genes are hypo-methylated in males compared to asexual females, whereas genes belonging to the sex chromosome, which is haploid in males, are hyper-methylated. Overall, we find correlated changes in methylation and gene expression between males and asexual females, and this correlation is particularly strong for genes located on the sex chromosome. Our results suggest that differential methylation of sex-biased genes plays a role in aphid sexual differentiation.