Pigment production and distribution are controlled through multiple proteins, resulting in different coat color phenotypes of sheep. The expression distribution of vimentin (VIM) and transthyretin (TTR) in white and black sheep skins was detected by liquid chromatography-electrospray ionization tandem MS (LC-ESI-MS/MS), gene ontology (GO) statistics, immunohistochemistry, Western blot, and quantitative real time polymerase chain reaction (qRT-PCR) to evaluate their role in the coat color formation of sheep. LC-ESI-MS/MS results showed VIM and TTR proteins in white and black skin tissues of sheep. Meanwhile, GO functional annotation analysis suggested that VIM and TTR proteins were mainly concentrated in cellular components and biological process, respectively. Further research confirmed that VIM and TTR proteins were expressed at significantly higher levels in black sheep skins than in white sheep skins by Western blot, respectively. Immunohistochemistry notably detected VIM and TTR in hair follicle, dermal papilla, and outer root sheath of white and black sheep skins. qRT-PCR results also revealed that the expression of VIM and TTR mRNAs was higher in black sheep skins than in white sheep skins. The expression of VIM and TTR were higher in black sheep skins than in white sheep skins and the transcription and translation were unanimous in this study. VIM and TTR proteins were expressed in hair follicles of white and black sheep skins. These results suggested that VIM and TTR were involved in the coat color formation of sheep.