Nucellar embryony (NE) is an adventitious form of apomixis common in citrus, wherein asexual embryos initiate directly from nucellar cells surrounding the embryo sac. NE enables the fixation of desirable agronomic traits and the production of clonal offspring of virus-free rootstock, but impedes progress in hybrid breeding. In spite of the great importance of NE in citrus breeding and commercial production, little is understood about the underlying molecular mechanisms. In this study, the stages of nucellar embryo initiation (NEI) were determined for two polyembryonic citrus cultivars via histological observation. To explore the genes and regulatory pathways involved in NEI, we performed mRNA-seq and sRNA-seq analyses of ovules immediately prior to and at stages during NEI in the two pairs of cultivars. A total of 305 differentially expressed genes (DEGs) were identified between the poly- and monoembryonic ovules. Gene ontology (GO) analysis revealed that several processes are significantly enriched based on DEGs. In particular, response to stress, and especially response to oxidative stress, was over-represented in polyembryonic ovules. Nearly 150 miRNAs, comprising ~90 conserved and ~60 novel miRNAs, were identified in the ovules of either cultivar pair. Only two differentially expressed miRNAs (DEMs) were identified, of which the novel miRN23-5p was repressed whereas the targets accumulated in the polyembryonic ovules. This integrated study on the transcriptional and post-transcriptional regulatory profiles between poly- and monoembryonic citrus ovules provides new insights into the mechanism of NE, which should contribute to revealing the regulatory mechanisms of plant apomixis.