Feed cost is one of the largest variable input costs in aquaculture. In general, dietary energy is directed toward protein deposition and muscle growth. However, most of the dietary energy will be used to support body maintenance if feed conversion efficiency (FCE) is relatively low. Thus, improving feed efficiency will make great contributions to the productivity, profitability, and sustainability of fish farming industry. In the present study, we performed comparative transcriptome analyses of brain and intestine tissues from extreme FCE groups and identified differentially expressed genes (DEGs) and regulatory pathways that may be involved in FCE and related traits in one of the important common carp strains of China, the Yellow River carp (Cyprinus carpio haematopterus). Totally, 557 and 341 DEGs between high and low FCE groups were found in brain and intestine tissues, respectively, including 66 up- and 491 down-regulated in brain of high FCE group and 282 up- and 59 down-regulated in intestine of high FCE group (p < 0.01, FDR < 0.05). These DEGs are mainly involved in metabolic pathway, organismal system and genetic information processing pathway. Finally, 20 key DEGs potentially involved in FCE of Yellow River carp were identified from these two tissues. Expression patterns (up or down regulation in the high or low FCE group) of these DEGs have been successfully validated by quantitative real-time PCR of 10 unigenes. This study provides insights into the genetic mechanisms underlying feed efficiency in Yellow River carp and supplies valuable FCE-related candidate gene resources for potential molecular breeding studies.