Although much has been done to elucidate the biochemistry of signal transduction and gene regulatory pathways, it remains difficult to understand or predict quantitative responses. We integrate single-cell experiments with stochastic analyses, to identify predictive models of transcriptional dynamics for the osmotic stress response pathway in Saccharomyces cerevisiae. We generate models with varying complexity and use parameter estimation and cross-validation analyses to select the most predictive model. This model yields insight into several dynamical features, including multistep regulation and switchlike activation for several osmosensitive genes. Furthermore, the model correctly predicts the transcriptional dynamics of cells in response to different environmental and genetic perturbations. Because our approach is general, it should facilitate a predictive understanding for signal-activated transcription of other genes in other pathways or organisms.