Pelteobagrus vachelli is a well-known commercial species in Asia. However, a sudden lack of oxygen will result in mortality and eventually to pond turnover. Studying the molecular mechanisms of hypoxia adaptation in fishes will not only help us to understand fish speciation and the evolution of the hypoxia-signaling pathway, but will also guide us in the breeding of hypoxia-tolerant fish strains. Despite this, the genetic regulatory network for miRNA-mRNA and the signaling pathways involved in hypoxia responses in fish have remained unexamined. In the present study, we used next-generation sequencing technology to characterise mRNA-seq and miRNA-seq of control- and hypoxia-treated P. vachelli livers to elucidate the molecular mechanisms of hypoxia adaptation. We were able to find miRNA-mRNA pairs using bioinformatics analysis and miRNA prediction algorithms. Furthermore, we compared several key pathways which were identified as involved in the hypoxia response of P. vachelli. Our study is the first report on integrated analysis of mRNA-seq and miRNA-seq in fishes and offers a deeper insight into the molecular mechanisms of hypoxia adaptation. qRT-PCR analysis further confirmed the results of mRNA-Seq and miRNA-Seq analysis. We provide a good case study for analyzing mRNA/miRNA expression and profiling a non-model fish species using next-generation sequencing technology.