Lambskin of the Hu sheep exhibits high economic value due to its water-wave pattern. Wool curvature is the key factor of the pattern types and quality of lambskin, and it is formed by the interaction between dermal papilla cells and hair matrix cells in the hair follicle, which is regulated by various genes and signaling pathways. Herein, three full-sibling pairs of two-day-old healthy lambs (n = 6) were divided into a straight wool group (ST) and small waves group (SM) with three repetitions. RNA-seq was applied to determine the expression profile of mRNAs and lncRNAs in Hu sheep hair follicles. 25 differentially expressed mRNAs and 75 differentially expressed lncRNAs were found between SM and ST. FGF12, ATP1B4, and TCONS_00279168 were probably associated with hair follicle development. Then, Gene Ontology (GO) and KEGG enrichment analysis were implemented for the functional annotation of target genes of differentially expressed lncRNAs. The results showed that many genes, such as FGF12 and ATP1B4, were found enriched in PI3K-Akt signaling, MAPK signaling, and Ras signaling pathway associated with hair follicle growth and development. In addition, the interaction network of differentially expressed lncRNAs and mRNAs showed that a total of 6 differentially expressed lncRNAs were associated with 12 differentially expressed mRNAs, which may be as candidate mRNAs and lncRNAs. TCONS_00279168 may target ATP1B4 and FGF12 to regulate MAPK, PI3K-Akt, Ras signaling pathways involved in the sheep hair follicle development process. These results will provide the basis for exploring hair follicle development.