Cashmere is initiated and develops in the fetal stages and the number and density of secondary hair follicles (SHFs) determine cashmere production and quality. Growing evidence indicates that both microRNA (miRNA) and long non-coding RNA (lncRNA) play an indispensable role in hair follicle (HF) growth and development. However, little is known about miRNAs, lncRNAs, and their functions as well as their interactions during cashmere initiation and development. Here, based on lncRNA and miRNA high-throughput sequencing and bioinformatics analysis, we identified 10,485 lncRNAs, 40,639 mRNAs, and 605 miRNAs in cashmere goat skin during HF induction, organogenesis, and cytodifferentiation stages. Among them, 521 lncRNAs, 5976 genes, and 204 miRNAs were differentially expressed (DE). KEGG analysis of DE genes indicated that ECM–receptor interaction and biosynthesis of amino acids were crucial for HF development. Notch, TGF-beta, and Wnt signaling pathways were also identified, which are conventional pathways associated with HF growth and development. Then, the ceRNA regulatory network was constructed, and the impact of lncRNA H19 was investigated in dermal papilla (DP) cells. The MTT, CCK-8, and EdU assays showed that the viability and proliferation of DP cells were promoted by H19, and mechanistic studies suggested that H19 performed its function through the chi-miR-214-3p/β-catenin axis. The present study created a resource for lncRNA, miRNA, and mRNA studies in cashmere morphogenesis. It could contribute to a better understanding of the molecular mechanism of ncRNAs involved in the regulation of HF growth and development.