Although the potential link exists between behavioral responses to UV-B radiation and the maximization of fitness, molecular mechanisms of these UV-B induced behaviors remain poorly understood. For the first time, we investigated the transcriptomes of covered (CB), sheltered (SB) and non-protected (NA) sea urchins Strongylocentrotus intermedius exposed to UV-B radiation. A total of 330 differentially expressed genes were revealed by transcriptome comparisons. By comparing with the group NA, we found 79 up-regulated and 118 down-regulated genes in SB group, as well as 26 up-regulated and 67 down-regulated genes in group CB. There were 34 up-regulated genes and 52 down-regulated genes in group SB, compared with group CB. These differentially expressed genes failed to enrich either Gene Ontology (GO) or Kyoto Encyclopedia of Genes and Genomes (KEGG), only except an enrichment in KEGG. We highlighted TRPA1 and Opsin as key neurobiological genes involved in the molecular mechanisms of covering and sheltering behaviors of sea urchins exposed to UV-B radiation. What's more, other identified genes provide valuable resources for future investigations on the molecular basis of covering and sheltering behaviors of sea urchins.