Stress response and coping behavior in pigs are largely shaped by hypothalamic-pituitary-adrenal axis and sympatho-adrenomedullary system action. However, the dynamic interaction between amygdala and hippocampus crucially modulates the behavioral response towards significant emotional events. While this functional relationship is well documented, the molecular underpinnings still remain insufficiently understood. Our study used transcriptome profiling of porcine amygdala and hippocampus to identify molecular pathways that are differentially activated depending on the haplotype of a significantly coping behavior-associated region on pig chromosome 12 (SSC12). The pigs were classified into two groups based on the haplotype information of this QTL-region discovered in our previous genome-wide association study. Ten each of high- (HR) and low- (LR) reactive pigs (n = 20) were selected for differential gene expression analysis and weighted gene co-expression analysis with subsequent pathway analysis. Differentially expressed genes identified in the amygdala include SELL, CXCR7 and NTS, while TRAF3, PTGS2 and CFI were detected in the hippocampus indicating a role of neuroinflammation and immunological processes. Pathway analysis revealed IL-8 signaling, NF-κB signaling, glutamate and GABA metabolism, glucocorticoid receptor signaling and chemokine signaling in the amygdala and ephrin receptor signaling, as well as NF-κB signaling in the hippocampus. We discovered candidate genes in regions detected by genome-wide association study including ARRB2, ADRBK2, THRB, NEK7 and ACVR2B, which relate to dopaminergic and other monoaminergic neurotransmitter systems, neuroimmunomodulation, neuroinflammation and GABA-ergic neurotransmission. These findings provide insights into the molecular underpinning of divergent coping behavior and associated haplotypes in limbic forebrain system in pig.