Most mammalian genes produce multiple distinct messenger RNAs through alternative splicing, but the extent of splicing conservation is not clear. To assess tissue-specific transcriptome variation across mammals, we sequenced complementary DNA from nine tissues from four mammals and one bird in biological triplicate, at unprecedented depth. We find that while tissue-specific gene expression programs are largely conserved, alternative splicing is well conserved in only a subset of tissues and is frequently lineage-specific. Thousands of previously unknown, lineage-specific, and conserved alternative exons were identified; widely conserved alternative exons had signatures of binding by MBNL, PTB, RBFOX, STAR, and TIA family splicing factors, implicating them as ancestral mammalian splicing regulators. Our data also indicate that alternative splicing often alters protein phosphorylatability, delimiting the scope of kinase signaling.