Small heat shock protein (Hsp) family genes have been reported in several plant species that function as molecular chaperones to protect proteins from being denatured in extreme conditions. As a first step towards the isolation and characterization of genes that contribute to combating abiotic stresses particularly heat stress, construction and screening of the subtracted complementary DNA (cDNA) library is reported here. In this study, a subtractive heat stress cDNA library was constructed that was used to isolate members of small Hsps (sHsps) using PgsHsp17.9A gene as a probe. As a result, a total of 150 cDNA clones were isolated from the subtracted cDNA library screening, leading to 121 high-quality expressed sequence tags (ESTs), with an average size of 450 bp, comprising of 15 contigs, and majority of these isolated sHsp genes belong to cytosolic class I (CI) family. In silico sequence analysis of CI-sHsp family genes revealed that the length of sHsp proteins varied from 151 to 159 amino acids and showed large variation in isoelectric point value (5.03 to 10.05) and a narrow range of molecular weight (16.09 to 17.94 kDa). The real-time PCR results demonstrated that CI-sHsp genes are differentially expressed in Pennisetum leaves under different abiotic stress conditions particularly at high temperature. The results presented in this study provide basic information on PgCI-sHsp family genes and form the foundation for future functional studies of these genes.