The heritability of litter size in sheep is low and controlled by multiple genes, but the research on its related genes is not sufficient. Here, to explore the expression pattern of multi-tissue genes in Chinese native sheep, we selected 10 tissues of the three adult ewes with the highest estimated breeding value in the early study of the prolific Xinggao sheep population. The global gene expression analysis showed that the ovary, uterus, and hypothalamus expressed the most genes. Using the Uniform Manifold Approximation and Projection (UMAP) cluster analysis, these samples were clustered into eight clusters. The functional enrichment analysis showed that the genes expressed in the spleen, uterus, and ovary were significantly enriched in the Ataxia Telangiectasia Mutated Protein (ATM) signaling pathway, and most genes in the liver, spleen, and ovary were enriched in the immune response pathway. Moreover, we focus on the expression genes of the hypothalamic–pituitary–ovarian axis (HPO) and found that 11,016 genes were co-expressed in the three tissues, and different tissues have different functions, but the oxytocin signaling pathway was widely enriched. To further explore the differences in the expression genes (DEGs) of HPO in different sheep breeds, we downloaded the transcriptome data in the public data, and the analysis of DEGs (Xinggao sheep vs. Sunite sheep in Hypothalamus, Xinggao sheep vs. Sunite sheep in Pituitary, and Xinggao sheep vs. Suffolk sheep in Ovary) revealed the neuroactive ligand–receptor interactions. In addition, the gene subsets of the transcription factors (TFs) of DEGs were identified. The results suggest that 51 TF genes and the homeobox TF may play an important role in transcriptional variation across the HPO. Altogether, our study provided the first fundamental resource to investigate the physiological functions and regulation mechanisms in sheep. This important data contributes to improving our understanding of the reproductive biology of sheep and isolating effecting molecular markers that can be used for genetic selection in sheep.