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Distinct coat morphological differences are widely observed in Inner Mongolian cashmere goats, and individuals can be classified into different hair types based on coarse-hair length. These different hair types directly affect cashmere fiber length, quality, and production efficiency. To elucidate the molecular basis underlying hair type differentiation, we performed whole-transcriptome sequencing of skin tissues from Long hair type cashmere goat (LHG) and Short hair type cashmere goat (SHG) at three key stages of the secondary hair follicle cycle (September, December, and March). High-quality sequencing data were obtained from both strand-specific and small RNA libraries (Q30 > 91.8%). Differential expression analysis identified 299 mRNAs, 497 lncRNAs, 217 circRNAs, and 29 microRNAs between LHG and SHG. Multi-layer enrichment analyses (GO, KEGG, and GSEA) consistently converged on functions related to keratin filaments, intermediate filaments, and cytoskeletal organization, suggesting that hair type differentiation is closely associated with hair shaft structural assembly and follicle structural remodeling, and differentially expressed genes were also enriched in canonical follicle-related pathways, including PI3K-Akt, Wnt, and TGF-β. PPI analysis further revealed two major interaction modules dominated by ribosomal proteins and KRT/KRTAP proteins, respectively. Moreover, ncRNA–mRNA network analysis combined with qRT-PCR validation of KRT79, LOC106503217, circ_0284, and chi-miR-221-5p indicated potential regulatory relationships between keratin genes and ncRNAs across different hair types. Collectively, this study provides a systematic resource for understanding different hair types in Inner Mongolian cashmere goats and offers candidate targets for molecular breeding.