Tibetan cashmere goats are famous for producing the finest, softest and lightest cashmere fiber in China. The growth and development of skin are closely related to fineness and are the key factors affecting the quality of cashmere. To investigate the specific role of long noncoding RNAs (lncRNAs) and messenger RNAs (mRNAs) in regulating cashmere fineness of Tibetan Cashmere goats in the anagen phase, we conducted high-throughput RNA sequencing of fine-type and coarse-type skin tissues. We identified 2,059 lncRNA candidates (1,589 lncRNAs annotated, 470 lncRNAs novel), and 80 differentially expressed (DE) lncRNAs and their potential targets were predicted. We also identified 384 DE messenger RNAs (mRNAs) out of 29,119 mRNAs. Several key genes in KRT26, KRT28, KRT39, IFT88, JAK3, NOTCH2 and NOTCH3 and a series of lncRNAs, including ENSCHIT00000009853, MSTRG.16794.17, MSTRG.17532.2, were shown to be potentially important for regulating cashmere fineness. GO and KEGG enrichment analyses of DE mRNAs and DE lncRNAs targets significantly enriched in positive regulation of the canonical Wnt signaling pathway, regulation of protein processing and metabolism processes. The mRNA-mRNA and lncRNA-mRNA regulatory networks further revealed potential transcripts involved in cashmere fineness. We further validated the expression patterns of DE mRNAs and DE lncRNAs by quantitative real-time PCR (qRT-PCR), and the results were consistent with the sequencing data. This study will shed new light on selective cashmere goat breeding, and these lncRNAs and mRNAs that were found to be enriched in Capra hircus RNA database.