Wool fiber diameter (WFD) is the most important economic trait of wool. However, the genes specifically controlling WFD remain elusive. In this study, the expression profiles of skin from two groups of Gansu Alpine merino sheep with different WFD (a super-fine wool group [FD = 18.0 ± 0.5 μm, n=3] and a fine wool group [FD=23.0 ± 0.5 μm, n=3]) were analyzed using next-generation sequencing-based digital gene expression profiling. A total of 40 significant differentially expressed genes (DEGs) were detected, including 9 up-regulated genes and 31 down-regulated genes. Further expression profile analysis of natural antisense transcripts (NATs) showed that more than 30% of the genes presented in sheep skin expression profiles had NATs. A total of 7 NATs with significant differential expression were detected, and all were down-regulated. Among of 40 DEGs, 3 DEGs (AQP8, Bos d2, and SPRR) had significant NATs which were all significantly down-regulated in the super-fine wool group. In total of DEGs and NATs were summarized as 3 main GO categories and 38 subcategories. Among the molecular functions, cellular components and biological processes categories, binding, cell part and metabolic process were the most dominant subcategories, respectively. However, no significant enrichment of GO terms was found (corrected P-value >0.05). The pathways that were significantly enriched with significant DEGs and NATs were mainly the lipoic acid metabolism, bile secretion, salivary secretion and ribosome and phenylalanine metabolism pathways (P < 0.05). The results indicated that expression of NATs and gene transcripts were correlated, suggesting a role in gene regulation. The discovery of these DEGs and NATs could facilitate enhanced selection for super-fine wool sheep through gene-assisted selection or targeted gene manipulation in the future.