Pigeonpea is one of the climate-resilient grain legumes. Though the optimum temperature for cultivated pigeonpea is ~ 25–35 °C, its wild relatives grow in temperatures ranging between 18 and 45 °C. To gain insight into molecular mechanisms responsible for the heat stress tolerance in pigeonpea, we conducted time-series transcriptome analysis of one pigeonpea cultivar (Cajanus cajan) and two wild relatives, Cajanus acutifolius, and Cajanus scarabaeoides subjected to heat stress at 42 ± 2 ºC for 30 min and 3 h. A total of 9521, 12,447, and 5282 identified transcripts were differentially expressed in C. cajan, C. acutifolius, and C. scarabaeoides, respectively. In this study, we observed that a significant number of genes undergo alternative splicing in a species-specific pattern during heat stress. Gene expression profiling analysis, histochemical assay, chlorophyll content, and electrolyte leakage assay showed that C. scarabaeoides has adaptive features for heat stress tolerance. The gene set enrichment analyses of differentially expressed genes in these Cajanus species during heat stress revealed that oxidoreductase activity, transcription factor activity, oxygen-evolving complex, photosystem-II, thylakoid, phenylpropanoid biosynthetic process, secondary metabolic process, and flavonoid biosynthetic process were highly affected. The histochemical assay showed more lipid peroxidation in C. acutifolius compared to other Cajanus species inferring the presence of higher quantities of polyunsaturated fatty acids in the plasma membrane which might have led to severe damage of membrane-bound organelles like chloroplast, and high electrolyte leakage during heat stress. This study paves the way for the identification of candidate genes, which can be useful for the development of thermo-tolerant pigeonpea cultivars.