The yak is a valuable species in the Qinghai-Tibet Plateau of China. Nevertheless, the molecular mechanisms underlying its adaptation to high-altitude environments remain largely unknown. In the present study, comparative transcriptome sequencing was performed for lung and gluteus tissues from two species of low-altitude cattle (Sanjiang and Holstein cattle), Tibetan cattle (living at a moderate altitude), and yak (living at a high altitude) and the differentially expressed genes were validated using real-time quantitative PCR. The results showed that CD36 antigen was up-regulated and CD59 antigen was down-regulated in yak in comparison to the other animals, which might promote the development of red blood cells and inhibit the development of lymphocytes in yak. In addition, thrombospondin type 1, coagulation factor 5/8, and fibronectin were all down-regulated, but serpin and alpha 2-macroglobulin (A2M) were up-regulated. These differences would inhibit blood coagulation, thus reducing the risk of pulmonary edema. The expression levels of the calcium-release, potassium, and transient receptor potential channels decreased in yak, minimizing membrane depolarization and the harmful effects of pulmonary edema. Eleven KEGG pathways associated with innate immunity were more activated in yak and Tibetan cattle than in other cattle strains, which should reduce their risk of infection and disease. These changes together might facilitate the adaptation of yak and Tibetan cattle to live in high-altitude habitats.