Cashmere goat skin contains two types of hair follicles (HF): primary hair follicles (PHF) and secondary hair follicles (SHF). Although multiple genetic determinants associated with HF formation have been identified, the molecules that determine the independent morphogenesis of HF in cashmere goats remain elusive. The growth and development of SHF directly influence the quantity and quality of cashmere production. Here, we report the transcriptome profiling analysis of nine skin samples from cashmere goats using 60- and 120-day-old embryos (E60 and E120, respectively), as well as newborns (NB), through RNA-sequencing (RNA-seq). HF morphological changes indicated that PHF were initiated at E60, with maturation from E120, while differentiation of SHF was identified at E120 until formation of cashmere occurred after birth (NB). The RNA-sequencing analysis generated over 20.6 million clean reads from each mRNA library. The number of differentially expressed genes (DEGs) in E60 vs. E120, E120 vs. NB, and E60 vs. NB were 1,024, 0 and 1,801, respectively, indicating that no significant differences were found at transcriptomic levels between E120 and NB. Key genes including B4GALT4, TNC, a-integrin, and FGFR1, were up-regulated and expressed in HF initiation from E60 to E120, while regulatory genes such as GPRC5D, PAD3, HOXC13, PRR9, VSIG8, LRRC15, LHX2, MSX-2, and FOXN1 were up-regulated and expressed in HF keratinisation and hair shaft differentiation from E120 and NB to E60. Several genes belonging to the KRT and KRTAP gene families were detected throughout the three HF developmental stages. The transcriptional trajectory analyses of all DEGs indicated that immune privilege, glycosaminoglycan biosynthesis, extracellular matrix receptor interaction, and growth factor receptors all played dominant roles in the epithelial-mesenchymal interface and HF formation. We found that the Wnt, transforming growth factor-beta/bone morphogenetic protein, and Notch family members played vital roles in HF differentiation and maturation. The DEGs we found could be attributed to the generation and development of HF, and thus will be critically important for improving the quantity and quality of fleece production in animals for fibres.