Increasing cashmere yield is one of the important goals of cashmere goat breeding. To achieve this goal, we screened the key genes that can improve cashmere performance. In this study, we used the RNA raw datasets of the skin and dermal papilla cells of secondary hair follicle (SHF-DPCs) samples of hair follicle (HF) anagen and telogen of Albas cashmere goats and identified a set of significant differentially expressed genes (DEGs). To explore potential associations between gene sets and SHF growth features and to identify candidate genes, we detected functional enrichment and constructed protein-protein interaction (PPI) networks. Through comprehensive analysis, we selected Thymosin β4 (Tβ4), Rho GTPase activating protein 6 (ARHGAP6), ADAM metallopeptidase with thrombospondin type 1 motif 15, (ADAMTS15), Chordin (CHRD), and SPARC (Osteonectin), cwcv and kazal-like domains proteoglycan 1 (SPOCK1) as candidate genes. Gene set enrichment analysis (GSEA) for these genes revealed Tβ4 and ARHGAP6 have a close association with the growth and development of SHF-DPCs. However, the expression of Tβ4 in the anagen was higher than that in the telogen, so we finally chose Tβ4 as the ultimate research object. Overexpressing Tβ4 promoted and silencing Tβ4 inhibited the proliferation of SHF-DPCs. These findings suggest that Tβ4 can promote the growth and development of SHF-DPCs and indicate that this molecule may be a valuable target for increasing cashmere production.