Understanding the genetic basis of water use efficiency (WUE) and its roles in plant adaptation to a drought environment is essential for the production of second-generation energy crops in water-deficit marginal land. In this study, RNA-Seq and WUE measurements were performed for 78 individuals of Miscanthus lutarioriparius grown in two common gardens, one located in warm and wet Central China near the native habitats of the species and the other located in the semiarid Loess Plateau, the domestication site of the energy crop. The field measurements showed that WUE of M. lutarioriparius in the semiarid location was significantly higher than that in the wet location. A matrix correlation analysis was conducted between gene expression levels and WUE to identify candidate genes involved in the improvement of WUE from the native to the domestication site. A total of 48 candidate genes were identified and assigned to functional categories, including photosynthesis, stomatal regulation, protein metabolism, and abiotic stress responses. Of these genes, nearly 73% were up-regulated in the semiarid site. It was also found that the relatively high expression variation of the WUE-related genes was affected to a larger extent by environment than by genetic variation. The study demonstrates that transcriptome-wide correlation between physiological phenotypes and expression levels offers an effective means for identifying candidate genes involved in the adaptation to environmental changes.