Powdery mildew (PM) is a severe fungal disease of cucumber worldwide. Identification of genetic factors resistant to PM is of great importance for marker-assisted breeding to ensure cucumber production. Long noncoding RNAs (lncRNAs) and microRNAs (miRNAs) have been shown to play important roles in plant development and immunity; however, whether they have a role in PM response in cucurbit crops remains unknown. We performed strand-specific RNA sequencing and miRNA sequencing using RNA from cucumber leaves of two near-isogenic lines (NILs), S1003 and NIL (Pm5.1) infected with PM, and systematically characterized the profiles of cucumber lncRNAs and messenger RNA (mRNAs) responsive to PM. In total, we identified 12,903 lncRNAs and 25,598 mRNAs responsive to PM. Differential expression (DE) analysis showed that 119 lncRNAs and 136 mRNAs correlated with PM resistance. Functional analysis of these DE lncRNAs and DE mRNAs revealed that they are significantly associated with phenylpropanoid biosynthesis, phenylalanine metabolism, ubiquinone and other terpenoid-quinone biosynthesis, and endocytosis. Particularly, two lncRNAs, LNC_006805 and LNC_012667, might play important roles in PM resistance. In addition, we also predicted mature miRNAs and competing endogenous RNA (ceRNA) networks of lncRNA-miRNA-mRNA involved in PM resistance. A total of 49 DE lncRNAs could potentially act as target mimics for 106 miRNAs. Taken together, our results provide an abundant resource for further exploration of cucumber lncRNAs, mRNAs, miRNAs, and ceRNAs in PM resistance, and will facilitate the molecular breeding for PM-resistant varieties to control this severe disease in cucumber.