Mycobacterium bovis, the agent of bovine tuberculosis, causes an estimated $3 billion annual losses to global agriculture due, in part, to the limitations of current diagnostics. Development of next-generation diagnostics requires a greater understanding of the interaction between the pathogen and the bovine host. Therefore, to explore the early response of the alveolar macrophage to infection, we report the first application of RNA-sequencing to define, in exquisite detail, the transcriptomes of M. bovis-infected and non-infected alveolar macrophages from ten calves at 2, 6, 24 and 48 hours post-infection. Differentially expressed sense genes were detected at these time points that revealed enrichment of innate immune signalling functions, and transcriptional suppression of host defence mechanisms (e.g., lysosome maturation). We also detected differentially expressed natural antisense transcripts, which may play a role in subverting innate immune mechanisms following infection. Furthermore, we report differential expression of novel bovine genes, some of which have immune-related functions based on orthology with human proteins. This is the first in-depth transcriptomics investigation of the alveolar macrophage response to the early stages of M. bovis infection and reveals complex patterns of gene expression and regulation that underlie the immunomodulatory mechanisms used by M. bovis to evade host defence mechanisms.