The sex-linked balanced lethal (SLBL) strains of silkworm serve as an effective system for sex-control in silkworm. To gain comprehensive insight into the effect of one sex-linked balanced lethal gene $l_2$, comparative proteomic analysis was carried out between the survival embryos ($W^{+l_1}Z^{l_1+l_2}$) and lethal embryos ($W^{+l_1}Z^{+l_1l_2}$) before the lethal stage. The lethal stage of $l_2$ was confirmed by observing the typical dead embryo morphology. The two genotype embryos before lethal stage were distinguished using polymorphic simple sequence repeats (SSR) markers closely linked to $l_2$ on the sex chromosome. Finally, 11 differentially expressed protein spots were successfully identified by MALDI-TOF/TOF mass spectrometry (MS). Among them, only 1 protein identified as heat shock protein 20.4 (HSP20.4) was up-regulated in the lethal embryos, while the other 10 were down-regulated. The up-regulation of HSP20.4 suggests that there may be abnormal polypeptides produced in the lethal embryos. The gene ontology (GO) annotation indicated those down-regulated proteins are involved in important biological processes including embryo development, nucleoside metabolism, tRNA splicing, translation and protein folding. The biological pathway analysis showed that those down-regulated proteins are mainly involved in spindle assemblage and morphogenesis. Based on our results, we suggest that the $l_2$ may be the mutant expressing abnormal polypeptides. Its expression has a negative effect on mitosis and morphogenesis processes. The death of the embryos may be caused by the accumulation of abnormal polypeptides and the handicap of cell proliferation and morphogenesis.