Sheep milk and related products have been growing in popularity around the world in recent years. However, the sheep milk industry is limited by low milk yield, and the molecular regulators of ovine lactation remain largely unknown. To investigate the transcriptomic basis of sheep lactation, RNA-Sequencing was used to explore the expression profiles of lncRNA and mRNA of the mammary gland in Hu sheep at three key time points during the lactation stage: 5 days before the expected date of parturition perinatal period (PP), 6 days after parturition early lactation (EL), and 25 days after parturition peak lactation (PL). A total of 1111, 688, and 54 differentially expressed (DE) lncRNAs as well as 1360, 660, and 17 DE mRNAs were detected in the EL vs PP, PL vs PP, and PL vs EL comparisons, respectively. Several prominent mRNAs (e.g., CSN1S1, CSN1S2, PAEP, CSN2, CSN3, and COL3A1) and lncRNAs (e.g., LNC_018483, LNC_005678, LNC_012936, and LNC_004856) were identified. Functional enrichment analysis revealed that several DE mRNAs and target genes of DE lncRNAs were involved in lactation-related pathways, such as MAPK, PPAR, and ECMreceptor interaction. This study enhances our understanding of how transcriptomic profiles change during the lactation period and pave the way for future studies examining sheep lactation.