Pleurotus cornucopiae cap color is an important commercial trait. The roles of non-coding RNA molecules (ncRNAs) in fungal fruiting body color formation are unclear. Whole-transcriptome analyses were performed, identifying messenger RNA (mRNA) and ncRNA (including long stranded non-coding RNA (lncRNA), micro RNA-like (milRNA), and circular RNA (circRNA)) molecules in three P. cornucopiae strains with different cap colors (grayish-black, grayish-white, and white), to investigate their roles in cap color formation. Differentially expressed mRNAs (n = 3604), lncRNAs (n = 520), milRNAs (n = 56), and circRNAs (n = 20) were identified among the three different color strains. Differentially expressed mRNAs and ncRNAs target genes were mainly involved in tyrosine, arachidonic acid, and histidine metabolism, plus other pathways potentially important in color formation. A competitive endogenous RNA (ceRNA) network and three mRNA and ncRNA co-expression networks were constructed, revealing relationships contributing to cap color formation, involving genes with roles in protein phosphorylation, and phenylalanine, tyrosine, and tryptophan biosynthesis. qRT-PCR analysis confirmed that mRNA and ncRNA levels were related to P. cornucopiae color. These regulatory networks may be crucial in P. cornucopiae color formation. Our data provide a new perspective to support further study of the mechanisms underlying P. cornucopiae color formation.