Studies in mouse models have played an important role in shedding light on human hematopoietic differentiation and disease. However, substantial differences between the two species often limit the translation of findings from mouse to human. Here, we complement our previous comparative transcriptomics analysis of the human and mouse immune systems by assessing the conservation of co-expression of genes. By comparing previously defined modules of co-expressed genes in human and mouse immune cells based on compendia of genome-wide profiles, we show that the overall modular organization of the transcriptional program is indeed conserved across the two species. However, several modules of co-expressed genes in one species dissolve or split in the other species, indicating loss of co-expression. Many of the associated regulatory mechanisms – as reflected by computationally inferred trans-regulators or enriched cis-regulatory elements – are conserved across the two species. Nevertheless, the degree of conservation of regulatory mechanisms is lower than that of expression, suggesting that distinct regulation may underlie some conserved transcriptional responses.