Wave patterns in lambskin hair follicles are an important factor determining the quality of sheep's wool. Hair follicles in lambskin from Hu sheep, a breed unique to China, have 3 types of waves, designated as large, medium, and small. The quality of wool from small wave follicles is excellent, while the quality of large waves is considered poor. Because no molecular and biological studies on hair follicles of these sheep have been conducted to date, the molecular mechanisms underlying the formation of different wave patterns is currently unknown. The aim of this article was to screen the candidate microRNAs (miRNA) and genes for the development of hair follicles in Hu sheep. Two-day-old Hu lambs were selected from full-sib individuals that showed large, medium, and small waves. Integrated analysis of microRNA and mRNA expression profiles employed high-throughout sequencing technology. Approximately 13, 24, and 18 differentially expressed miRNAs were found between small and large waves, small and medium waves, and medium and large waves, respectively. A total of 54, 190, and 81 differentially expressed genes were found between small and large waves, small and medium waves, and medium and large waves, respectively, by RNA sequencing (RNA-seq) analysis. Differentially expressed genes were classified using gene ontology and pathway analyses. They were found to be mainly involved in cell differentiation, proliferation, apoptosis, growth, immune response, and ion transport, and were associated with MAPK and the Notch signaling pathway. Reverse transcription-polymerase chain reaction (RT-PCR) analyses of differentially-expressed miRNA and genes were consistent with sequencing results. Integrated analysis of miRNA and mRNA expression indicated that, compared to small waves, large waves included 4 downregulated miRNAs that had regulatory effects on 8 upregulated genes and 3 upregulated miRNAs, which in turn influenced 13 downregulated genes. Compared to small waves, medium waves included 13 downregulated miRNAs that had regulatory effects on 64 upregulated genes and 4 upregulated miRNAs, which in turn had regulatory effects on 22 downregulated genes. Compared to medium waves, large waves consisted of 13 upregulated miRNAs that had regulatory effects on 48 downregulated genes. These differentially expressed miRNAs and genes may play a significant role in forming different patterns, and provide evidence for the molecular mechanisms underlying the formation of hair follicles of varying patterns.