Fiber diameter is an important characteristic that determines the quality and economic value of rabbit wool. This study aimed to investigate the genetic determinants of wool fiber diameter through an integration analysis using transcriptomic and proteomic datasets from hair follicles of coarse and fine wool from Angora rabbits. Using a 4D label-free technique, we identified 423 differentially expressed proteins (DEPs) in hair follicles of coarse and fine wool in Angora rabbits. Eighteen DEPs were examined using parallel reaction monitoring, which verified the reliability of our proteomic data. Functional enrichment analysis revealed that a set of biological processes and signaling pathways related to wool growth and hair diameter were strongly enriched by DEPs with fold changes greater than two, such as keratinocyte differentiation, skin development, epidermal and epithelial cell differentiation, epidermis and epithelium development, keratinization, and estrogen signaling pathway. Association analysis and protein–protein interaction network analysis further showed that the keratin (KRT) family members, including KRT77, KRT82, KRT72, KRT32, and KRT10, as well as CASP14 and CDSN, might be key factors contributing to differences in fiber diameter. Our results identified DEPs in hair follicles of coarse and fine wool and promoted understanding of the molecular mechanisms underlying wool fiber diameter variation among Angora rabbits.