Background/Objectives: Research on cashmere goat coat color is crucial for optimizing cashmere goat breeds and increasing their economic value. To identify key genes associated with the formation of cashmere goat coat color and to provide molecular markers for breeding purposes, three healthy, 3-year-old does with similar weights and distinct coat colors—white, black, and light brown—were selected. Methods: Skin samples were collected for transcriptome sequencing, and bioinformatics methods were applied to screen for differentially expressed genes (DEGs) in the skin of cashmere goats with varying coat colors. Real-time fluorescence quantitative PCR (qRT-PCR) and immunofluorescence were subsequently conducted to examine the expression patterns of these DEGs. Results: The results showed that a total of 1153 DEGs were identified across the three groups of cashmere goats. According to GO and KEGG analyses, these DEGs were involved in key biological processes and structures, such as the melanin biosynthetic process (GO:0042438), melanosome membrane (GO:0033162), and melanin biosynthesis from tyrosine (GO:0006583). Employing Cytoscape, a gene interaction network was plotted, highlighting a compact network of DEGs associated with coat color formation. Critical genes identified included TYRP1, TYR, DCT, ASIP, PMEL, LOC102180584, MLANA, TSPAN10, TRPM1, CLDN16, AHCY, LOC106503350, and LOC102175263. qRT-PCR and fluorescence immunohistochemistry further determined that TYRP1, TYR, DCT, and PMEL expression levels were high in black goats (BGs), while ASIP and AHCY expression levels were high in white goats (WGs). The expression levels of these six genes in light brown goats (RGs) were intermediate between those in BGs and WGs. Conclusions: TYRP1, TYR, DCT, and PMEL were believed to play pivotal roles in the formation of black coat color, while ASIP and AHCY regulated the formation of white coat color in cashmere goats.