The growth and development of sheep late fetal skeletal muscle undergoes significant changes. However, the specific mechanism remains unknown. In this study, we performed the comprehensive analysis of transcriptome and proteome of Chinese Merino sheep at embryonic ages Day85 (D85N), Day105 (D105N), and Day135 (D135N) by the tandem mass tags (TMT) and RNA‐seq methods. Totally 717, 1253, and 1873 differentially expressed genes (DEGs) were identified in the three comparison groups (D85N vs. D105N, D105N vs. D135N, and D85N vs. D135N). Among which 7, 80, and 162 DEGs were identified with the same trends at mRNA and protein levels in the three groups. Enrichment analysis showed that 7 genes with same trends in D85 vs. D105 have not been enriched in any pathways, which indicated that the development of skeletal muscle underwent significant changes with post‐transcription regulation during this period. These genes with same trends in D105N vs. D135N were mainly enriched in the pathways related to skeletal muscle metabolism and maturation, including oxidative phosphorylation, glycolysis/gluconeogenesis, tight junction, and HIF‐1 pathways, which indicated that the development of skeletal muscle tended to maturation during this period. These results provided evidence for ovine late fetal skeletal muscle fibers development from proliferating to thickening at simultaneous transcriptional and translational levels.