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Small Tail Han sheep, including the FecBBFecBB (Han BB) and FecB+ FecB+ (Han++) genotypes, and Dorset sheep exhibit different fecundities. To identify novel long non-coding RNAs (lncRNAs) associated with sheep fecundity to better understand their molecular mechanisms, a genome-wide analysis of mRNAs and lncRNAs from Han BB, Han++ and Dorset sheep was performed. After the identification of differentially expressed mRNAs and lncRNAs, 16 significant modules were explored by using weighted gene coexpression network analysis (WGCNA) followed by functional enrichment analysis of the genes and lncRNAs in significant modules. Among these selected modules, the yellow and brown modules were significantly related to sheep fecundity. lncRNAs (e.g., NR0B1, XLOC_041882, and MYH15) in the yellow module were mainly involved in the TGF-β signalling pathway, and NYAP1 and BCORL1 were significantly associated with the oxytocin signalling pathway, which regulates several genes in the coexpression network of the brown module. Overall, we identified several gene modules associated with sheep fecundity, as well as networks consisting of hub genes and lncRNAs that may contribute to sheep prolificacy by regulating the target mRNAs related to the TGF-β and oxytocin signalling pathways. This study provides an alternative strategy for the identification of potential candidate regulatory lncRNAs.