Cashmere goat hair follicles are divided into primary hair follicles and secondary hair follicles. The primary hair follicles produce coarse hair, and the secondary hair follicles produce cashmere. The development of hair follicles is affected by a variety of signaling molecules and pathways. Studies have shown that non-coding RNAs are widely involved in the development of hair follicles of the goat, including small RNAs (miRNAs), long non-coding RNAs (lncRNA), and circular RNAs (circRNAs). In recent years, circRNAs, as a new type of circular closed non-coding RNAs, have attracted great attention due to their high stability. However, its regulatory effect on cashmere goat hair follicles mainly focuses on the periodic regulation of secondary hair follicles, and there is no report on the development of cashmere goat hair follicles during the fetal period. Therefore, this study was based on the circRNA, miRNA, and mRNA expression profiles obtained by whole-transcriptional sequencing of the skin tissue of the Inner Mongolia cashmere goats in the fetal period (days 45, 55, 65, and 75) and screening out the morphological changes of hair follicles at different periods. A total of 113 circRNAs related to the development of secondary hair follicles were present. According to the principle of the ceRNA regulatory network, a ceRNA regulatory network composed of 13 circRNAs, 21 miRNAs, and 110 mRNAs related to the development of secondary hair follicles was constructed. Then, qRT-PCR and Sanger sequencing identified circRNA2034, circRNA5712, circRNA888, and circRNA9127 were circRNAs. Next, the dual-luciferase reporter gene verified the targeting relationship of circRNA5712-miR-27b-3p-Dll4. In conclusion, this study constructed a ceRNA regulatory network for the development of cashmere goat secondary hair follicles, laying a foundation for the analysis of circRNAs regulating the morphogenesis and development of cashmere goat secondary hair follicles through the ceRNA mechanism.