Corynebacterium pseudotuberculosis (C. pseudotuberculosis) is a zoonotic chronic infectious disease. It mainly occurs in dairy goats reared in herds, and once it invades the dairy goats, it is difficult to completely remove it, causing great harm to the development of the sheep industry. This study mainly was based on TMT-based quantitative proteomics and RNA-seq methods to measure the spleen samples of infected dairy goats at different time periods. Nine four-month-old dairy goats were divided into three groups, with three goats in each group. The dairy goats in the first group (NC group) were inoculated with 1.0 mL of sterilized normal saline subcutaneously, and the second (72 h group) and third groups (144 h group) were inoculated with 1.0 mL of 1 × 107 cfu/mL bacterial solution subcutaneously in the neck. Significant changes in the protein and mRNA expression were observed in different infection and control groups. In the 72 h group, 85 genes with differential genes and proteins were up-regulated and 91 genes were down-regulated in this study. In the 144 h group, 38 genes with differential genes and proteins were up-regulated and 51 genes were down-regulated. It was found that 21 differentially expressed genes and proteins were co-up-regulated in the two groups. There were 20 differentially expressed genes and proteins which were co-down-regulated in both groups. The 72 h group were mainly enriched in protein processing in the endoplasmic reticulum, lysosome, amino sugar and nucleotide sugar metabolism and the estrogen signaling pathway. In the 144 h group, they were protein processing in the endoplasmic reticulum pathway which was enriched by mRNA–proteins pairs co-upregulated by the five pairs. The combined transcriptomic and proteomic analyses were performed to provide insights into the effects of C. pseudotuberculosis through several regulatory features and pathways. We found that in the early stage of infection (72 h), the co-upregulated gene–protein pairs were enriched in multiple pathways, which jointly defended against a bacterial invasion. However, in the later stages of infection (144 h), when the disease stabilizes, a few co-upregulated gene–protein pairs played a role in protein processing in the endoplasmic reticulum pathway. In addition, the mRNA and protein expressions of dairy goats infected with the bacteria at different periods of time indicated the adaptability of dairy goats to the bacteria. At the same time, it guides us to carry out a corresponding treatment and feeding management for dairy goats according to different periods of time.