Cephalochordates, commonly known as lancelets or amphioxus, represent an ancient chordate lineage falling at the boundary between invertebrates and vertebrates. They are considered the best living proxy for the common ancestor of all chordate animals and hold the key for understanding chordate evolution. Despite such great importance, current studies on cephalochordates are generally limited to the Branchiostoma genus, leaving the other two genera, Asymmetron and Epigonichthys largely unexplored. In this dissertation, I set out to fill this gap by developing an array of genomic resources for the Bahama cephalochordate, Asymmetron lucayanum, by both RNA-Seq and whole-genome shotgun (WGS) sequencing. The transcriptome and genome of this representative cephalochordate species were assembled and characterized via the state-of-arts comparative genomics approach. By comparing its transcriptome and genome sequences with those of a distant related cephalochordate species, Branchiostoma floridae, as well as with several representative vertebrate species, many aspects of their genome biology were illuminated, which includes lineage-specific molecular evolution rate, fast-evolving genes, evolution time frame, conserved non-coding elements, and germline-related genes. The raw genomic resources, technical pipelines and biological results and insights generated by this dissertation work will benefit the whole cephalochordate research community by providing a powerful guide for formulating new hypotheses and designing new experiments towards a better understanding about the biology and evolution of cephalochordates, as well as the evolutionary transition from invertebrates to vertebrates.