Donkey milk is consumed by humans for its nutritional and therapeutic properties. MicroRNAs (miRNAs) and messenger RNAs (mRNAs) have been implicated in the regulation of milk component synthesis and mammary gland development. However, the regulatory profile of the miRNAs and mRNAs involved in lactation in donkeys is unclear. We performed mRNA-seq and miRNA-seq and constructed coexpression regulatory networks for the mammary glands during the lactating and nonlactating period of jennies. We identified 3144 differentially expressed (DE) mRNAs (987 upregulated mRNAs and 2157 downregulated mRNAs) and 293 DE miRNAs (231 upregulated miRNAs and 62 downregulated miRNAs) in the lactating group compared to the nonlactating group. The DE miRNA target mRNA were significantly associated with pathways related to RNA polymerase, glycosphingolipid biosynthesis, mRNA surveillance, ribosome biogenesis in eukaryotes, glycerophospholipid metabolism, Ras signaling, and the fly hippo signaling pathway. The mRNA–miRNA coregulation analysis showed that novel-m0032-3p, miR-195, miR-26-5p, miR-23-3p, miR-674-3p, and miR-874-3p are key miRNAs that target mRNAs involved in immunity and milk lipid, protein, and vitamin metabolism in the jenny mammary gland. Our results improve the current knowledge of the molecular mechanisms regulating bioactive milk component metabolism in the mammary glands and could be used to improve milk production in donkeys.