Due to their long-term colonization of and widespread distribution in plateau environments, yaks can serve as an ideal natural animal model for the adaptive evolution of other plateau species, including humans. Some studies reported that the lung and heart are two key organs that show adaptive transcriptional changes in response to high altitudes, and most of the genes that show differential expression in lung tissue across different altitudes display nonlinear regulation. To explore the molecular mechanisms that are activated in yak lung tissue in response to hypoxia, the mRNAs, lncRNAs and miRNAs of lung tissue from 9 yaks living at three different altitudes (3400 m, 4200 m and 5000 m), with three repetitions per altitude, were sequenced. Two Zaosheng cattle from 1500 m were selected as low-altitude control. A total of 21,764 mRNAs, 14,168 lncRNAs and 1209 miRNAs (305 known and 904 novel miRNAs) were identified. In a comparison of yaks and cattle, 4975 mRNAs, 3326 lncRNAs and 75 miRNAs were differentially expressed. A total of 756 mRNAs, 346 lncRNAs and 83 miRNAs were found to be differentially expressed among yaks living at three different altitudes (fold change ≥ 2 and P-value < 0.05). The differentially expressed genes between yaks and cattle were functionally enriched in long-chain fatty acid metabolic process and protein processing, while the differentially expressed genes among yaks living at three different altitudes were enriched in immune response and the cell cycle. Furthermore, competing endogenous RNA (ceRNA) networks were investigated to illustrate the roles of ceRNAs in this process, the result was also support the GO and KEGG analysis. The present research provides important genomic insights for discovering the mechanisms that are activated in response to hypoxia in yak lung tissue.