Here, we study an insect hnRNP M protein, referred to as Hrp59. Hrp59 is relatively abundant, has a modular domain organization containing three RNA-binding domains, is dynamically recruited to transcribed genes, and binds to premRNA cotranscriptionally. Using the Balbiani ring system of Chironomus, we show that Hrp59 accompanies the mRNA from the gene to the nuclear envelope, and is released from the mRNA at the nuclear pore. The association of Hrp59 with transcribed genes is not proportional to the amount of synthesized RNA, and in vivo Hrp59 binds preferentially to a subset of mRNAs, including its own mRNA. By coimmunoprecipitation of Hrp59–RNA complexes and microarray hybridization against Drosophila whole-genome arrays, we identify the preferred mRNA targets of Hrp59 in vivo and show that Hrp59 is required for the expression of these target mRNAs. We also show that Hrp59 binds preferentially to exonic splicing enhancers and our results provide new insights into the role of hnRNP M in splicing regulation.