Recent advancements in machine learning have significantly improved the identification of disease-associated genes from gene expression datasets. However, these processes often require extensive expertise and manual effort, limiting their scalability. Large Language Model (LLM)-based agents have shown promise in automating these tasks due to their increasing problem-solving abilities. To support the evaluation and development of such methods, we introduce GenoTEX, a benchmark dataset for the automatic exploration of gene expression data, involving the tasks of dataset selection, preprocessing, and statistical analysis. GenoTEX provides annotated code and results for solving a wide range of gene identification problems, in a full analysis pipeline that follows the standard of computational genomics. These annotations are curated by human bioinformaticians who carefully analyze the datasets to ensure accuracy and reliability. To provide baselines for these tasks, we present GenoAgents, a team of LLM-based agents designed with context-aware planning, iterative correction, and domain expert consultation to collaboratively explore gene datasets. Our experiments with GenoAgents demonstrate the potential of LLM-based approaches in genomics data analysis, while error analysis highlights the challenges and areas for future improvement. We propose GenoTEX as a promising resource for benchmarking and enhancing AI-driven methods for genomics data analysis. We make our benchmark publicly available at \url{https://github.com/Liu-Hy/GenoTex}.