Cashmere goat from Inner Mongolia is an excellent local breed in China, and the related cashmere product is a kind of precious textile raw material with high price. Cashmere is generated from secondary hair follicles, which has obvious annual periodicity and includes three different stages: anagen, catagen, and telogen. Therefore, we investigated skin transcriptome data for 12 months using weighted gene co-expression network analysis (WGCNA) to explore essential modules, pathways, and genes responsible for the periodic growth and development of secondary hair follicles. A total of 17 co-expression modules were discovered by WGCNA, and there is a strong correlation between steelblue module and month (0.65, p = 3E−09), anagen (0.52, p = 1E−05), telogen (−0.6, p = 8E−08). Gene expression was generally high during late anagen to catagen (June to December), while expression was downregulated from telogen to early anagen (January–May), which is similar to the growth rule of hair follicle cycle. KEGG pathway enrichment analyses of the genes of steelblue module indicated that genes are mainly enriched in Cell cycle, Wnt signaling pathway, p53 signaling pathway and other important signal pathways. These genes were also significantly enriched in GO functional annotation of the cell cycle, microtubule movement, microtubule binding, tubulin binding, and so on. Ten genes (WIF1, WNT11, BAMBI, FZD10, NKD1, LEF1, CCND3, E2F3, CDC6, and CDC25A) were selected from these modules, and further identified as candidate biomarkers to regulate periodic development of hair follicles using qRT-PCR. The Wnt signaling pathway and Cell cycle play an important role in the periodic development of hair follicles. Ten genes were identified as essential functional molecules related to periodic development of hair follicle. These findings laid a foundation for understanding molecular mechanisms in biological functions such as hair follicle development and hair growth in cashmere goats.