The objective of this study was to investigate the effects of maternal dietary selenium yeast (SY) supplementation during pregnancy on the hair follicle development of kids. Sixty pregnant Hanshan white cashmere goats were randomly divided into the con group (fed with a basal diet) and the SY group (fed with a basal diet with 0.4 mg/kg SY). SY was supplemented during the pregnancy until the birth of the kids. The growth performance, cashmere performance, hair follicle characteristics, and serum antioxidant capacity of the kids were periodically determined. The results showed that the birth weight of the kids in the SY group was significantly higher than that in the con group (p < 0.05), and the average weight at 15 days, 1 month, 3 months, and 5 months of age increased by 13.60%, 8.77%, 8.86%, and 3.90%, respectively (p > 0.05). The cashmere fineness at early birth was dramatically reduced with SY supplementation (p < 0.001), whereas cashmere length and production were significantly increased at 5 months of age (p < 0.05). Histology assays indicated that the primary hair follicles were fully developed at birth, and there was no significant difference in the number of primary hair follicles between the two groups (p > 0.05). The number of secondary hair follicles and the number and density of active secondary hair follicles in the SY group at 15 days were significantly higher than those in the con group (p < 0.05) and were increased by 11.18%, 6.18%, and 22.55% at 5 months of age, respectively (p > 0.05). The serum antioxidant capacity analysis revealed that the SY group had higher levels of T-AOC, SOD, CAT, and GSH-Px activities and lower levels of MDA (p > 0.05). These results reveal that the maternal dietary supplementation of SY in gestation can promote the morphogenesis and maturation of secondary hair follicles and increase the number and density of secondary hair follicles by enhancing the body’s antioxidant capacity, contributing to the improvement of cashmere quality and yield.