Reproductive ability, especially prolificacy, impacts sheep profitability. Hu sheep, a unique Chinese breed, is recognized for its high prolificacy (HP), early sexual maturity, and year-round estrus. However, little is known about the molecular mechanisms underlying HP in Hu sheep. To explore the potential mRNAs and long non-coding RNAs (lncRNAs) involved in Hu sheep prolificacy, we performed an ovarian genome-wide analysis of mRNAs and lncRNAs during the follicular stage using Hu sheep of HP (litter size = 3; three consecutive lambings) and low prolificacy (LP, litter size = 1; three consecutive lambings). Plasma luteinizing hormone (LH) concentration was higher in the HP group than in the LP group (P<0.05) during the follicular stage. Subsequently, 76 differentially expressed mRNAs (DE-mRNAs) and five differentially expressed lncRNAs (DE-lncRNAs) were identified by pairwise comparison; quantitative real-time PCR (qRT-PCR) analysis of ten randomly selected DE genes (mRNA and lncRNA) were consistent with the sequencing results. Gene Ontology (GO) analysis of DE-mRNAs revealed significant enrichment in immune response components, actin filament severing and phagocytosis. Pathway enrichment analysis of DE-mRNAs indicated a predominance of immune function pathways, including phagosomes, lysosomes, and antigen processing. We constructed a co-expression network of DE-mRNAs and mRNA-lncRNAs, with C1qA, CD53, cathepsin B (CTSB), CTSS, TYROBP, and AIF1 as the hub genes. Finally, the expression of lysosomal protease cathepsin genes, CTSB and cathepsin D (CTSD), were significantly up-regulated in sheep ovaries in the HP group compared with the LP group (P<0.05). These differential mRNAs and lncRNAs may provide information on the molecular mechanisms underlying sheep prolificacy.