Hair follicles are the basis of the formation of Hu sheep pattern. This study was to employ whole transcriptome sequencing to screen differentially expressed long non-coding RNAs (lncRNAs) between three wave patterns in lambskin. In this study, three groups of 2-day-old Hu sheep were selected from full-sib individuals that included small, medium, and large waves, and hair follicle tissues were collected from dorsal side of Hu sheep. LncRNA and mRNA expression profiles were analyzed by whole transcriptome sequencing technology. 33, 31, and 41 differentially expressed lncRNAs were selected between large and medium, medium and small, and large and small, respectively. 458, 481, and 498 differentially expressed mRNAs were found between large and medium, medium and small, and large and small, respectively, by RNA-seq analysis. qRT-PCR results of 16 randomly selected lncRNAs and mRNAs were similar to the sequencing results. Correlation analysis of lncRNA and mRNA expression showed that, several lncRNAs may be enriched for hair follicle such as Wnt, mTOR, Notch signaling pathways. Our results aid in excavation of mRNAs and lncRNAs in hair follicle, and providing a basis for future study on pattern formation mechanisms.