The development of hair follicles in yak shows significant seasonal cycles. In our previous research, transcriptome data including mRNAs and lncRNAs in five stages during the yak hair follicles (HFs) cycle were detected, but their regulation network and the hub genes in different periods are yet to be explored. This study aimed to screen and identify the hub genes during yak HFs cycle by constructing a mRNA-lncRNA co-expression network. A total of 5000 differently expressed mRNA (DEMs) and 729 differently expressed long noncoding RNA (DELs) were used to construct the co-expression network, based on weighted genes co-expression network analysis (WGCNA). Four temporally specific modules were considered to be significantly associated with the HFs cycle of yak. Kyoto Encyclopedia of Genes and Genomes (KEGG) analysis revealed that the modules are enriched into Wnt, EMC-receptor interaction, PI3K-Akt, focal adhesion pathways, and so on. The hub genes, such as FER, ELMO1, PCOLCE, and HOXC13, were screened in different modules. Five hub genes (WNT5A, HOXC13, DLX3, FOXN1, and OVOL1) and part of key lncRNAs were identified for specific expression in skin tissue. Furthermore, immunofluorescence staining and Western blotting results showed that the expression location and abundance of DLX3 and OVOL1 are changed following the process of the HFs cycle, which further demonstrated that these two hub genes may play important roles in HFs development.