Wool quality and yield are important economic traits of livestock. In this study, the skin tissues of the upper scapula of Super Merino sheep (SM) and Small-Tailed Han sheep (STH) during the growing period were studied. Differentially expressed (DE) long non-coding RNAs (lncRNAs) and messenger RNAs (mRNA) were identified via histopathological observation and high-throughput RNA sequencing. Gene ontology (GO) and the Kyoto Encyclopedia of Genes and Genomes (KEGG) were used to analyze differentially expressed genes. Reverse transcription quantitative Polymerase Chain Reaction (RT-qPCR) was used to verify nine selected DE lncRNAs and five DE mRNAs. Significant differences were found in the expression levels of LOC114113396 (KRTAP15-1), CRABP1, KRT10, KRTAP1-3, KRTAP4.3, KRT2, FGF1, IGF-1, and KIT in SM and STH skin tissues. These results indicate that these mRNAs may play an important role in the growth and development of hair follicles and the regulation of hair fiber traits. Differentially expressed lncRNA target genes and mRNAs were mainly enriched in biological processes and pathways related to skin development and fiber traits, which is consistent with previous studies. LncRNA MSTRG.9225.1, MSTRG.124320.1, MSTRG.96951.1, MSTRG.91685.1, MSTRG.122229.1, MSTRG.89255.1, MSTRG.98769.1, and MSTRG.84658.1 may indirectly participate in the growth and development of sheep hair follicles and the regulation of hair fiber diameter by regulating the expression of their respective target genes. These candidate lncRNAs and mRNAs may provide a basis for the study of sheep hair follicle growth and development and hair fiber traits.