An analytical study is presented for the transient electrophoretic response of a circular cylindrical particle to the step application of an electric field. The electric double layer adjacent to the particle surface is thin but finite compared with the radius of the particle. The time-evolving electroosmotic velocity at the outer boundary of the double layer is utilized as a slip condition so that the transient momentum conservation equation for the bulk fluid flow is solved. Explicit formulas for the unsteady electrophoretic velocity of the particle are obtained for both axially and transversely applied electric fields, and can be linearly superimposed for an arbitrarily-oriented applied field. If the cylindrical particle is neutrally buoyant in the suspending fluid, the transient electrophoretic velocity is independent of the orientation of the particle relative to the applied electric field and will be in the direction of the applied field. If the particle is different in density from the fluid, then the direction of electrophoresis will not coincide with that of the applied field until the steady state is attained. The growth of the electrophoretic mobility with the elapsed time for a cylindrical particle is substantially slower than for a spherical particle.