It is widely accepted that the periodic cycle of hair follicles is controlled by the biological clock, but the molecular regulatory mechanisms of the hair follicle cycle have not been thoroughly studied. The secondary hair follicle of the cashmere goat is characterized by seasonal periodic changes throughout life. In the hair follicle cycle, the initiation of hair follicles is of great significance for hair follicle regeneration. To provide a reference for hair follicle research, our study compared differences in mRNA expression and microRNA expression during the growth and repose stages of cashmere goat skin samples. Through microRNA and mRNA association analysis, we found microRNAs and target genes that play major regulatory roles in hair follicle initiation. We further constructed an mRNA-microRNA interaction network and found that hair follicle initiation and development were related to MiR-195 and the genes CHP1, SMAD2, FZD6 and SIAH1.