Coat color is one of the most important characteristics for distinguishing Chinese indigenous pig breeds. In Wuzhishan pigs, the animals have black on the back and white on the abdomen. However, the molecular genetic basis of this phenotype is unclear. In this study, we used high-throughput RNA sequencing to compare expression profiles of coding and non-coding RNAs from white and black skin samples obtained from individual Wuzhishan pigs. The expression profiling revealed that 194 lncRNAs (long non-coding RNAs), 189 mRNAs (messenger RNAs), and 162 miRNAs (microRNAs) had significantly different levels of expression (|log2 fold change| > 1, p-value < 0.05) in white and black skin. Compared to RNA levels in black skin, white skin had higher levels of expression of 185 lncRNAs, 181 mRNAs, and 23 miRNAs and lower levels of expression of 9 lncRNAs, 8 mRNAs, and 139 miRNAs. Functional analysis suggested that the differentially expressed transcripts are involved in biological processes such as melanin biosynthesis, pigmentation and tyrosine metabolism. Several key genes involved in melanogenesis, including MLANA, PMEL, TYR, TYRP1, DTC, TRPM1 and CAMK2A, had significantly different levels of expression in the two skin tissues. Potential lncRNA–miRNA–gene interactions were also examined. A total of 15 lncRNAs, 11 miRNAs and 7 genes formed 23 lncRNA–miRNA–gene pairs, suggesting that complex regulatory networks of coding and non-coding genes underlie the coat color trait in Wuzhishan pigs. Our study provides a foundation for understanding how lncRNA, miRNA and genes interact to regulate coat color in black-back/white-belly pigs. We also constructed lncRNA–miRNA–gene interaction networks to elucidate the complex molecular mechanisms underlying skin physiology and melanogenesis. The results extend our knowledge about the diversity of coat color among different domestic animals and provide a foundation for studying novel mechanisms that control coat color in Chinese indigenous pigs.