White cocoon is developed and used as a natural fiber, and different silkworm strains have different cocoon colors. Natural-colored cocoons are preferred by people, however, the cocoon color mainly settles on sericin and it basically falls off after reeling. Currently, there are no varieties applied to production due to the formation mechanism of cocoon color is not clear. The formation of cocoon color involves multiple gene regulations. Previous studies have shown that the main genes regulating cocoon traits are the yellow blood (Y) gene, yellow blood inhibitor (I) gene, and yellow cocoon (C) gene. Among them, the products of the Y gene and C gene have been studied, but the I gene is still unclear. In this study, the midgut tissues of the yellow (NB) and the white (306) cocoon silkworm were analyzed by whole transcriptome sequencing. The results showed that there are 1639 DE-circRNAs, 70 DE-miRNAs, and 3225 DE-mRNAs, including 1785 up-regulated genes and 1440 down-regulated genes. GO and KEGG annotation results indicated that DE-mRNAs are mainly involved in intracellular transport, signal transduction, lipid transport, and metabolic processes. Two key genes, KWMTBOMO10339 and KWMTBOMO16553, were screened out according to the annotation results, which were involved in amino acid transport and ion exchange function, respectively. The interaction analysis between ncRNA and target genes showed that there were five miRNAs regulating these two genes. The qPCR analysis showed that the I gene was down-regulated, and the miRNA expression profiles were most up-regulated. Therefore, during the yellow and white cocoon formation, KWMTBOMO10339 and KWMTBOMO16553 may be regulated by miRNA, resulting in the non-expression of KWMTBOMO10339 and KWMTBOMO16553 in yellow cocoon silkworm, and the pigment molecules can enter hemolymph from the midgut to form yellow blood, then transport to the middle silk gland to finally form yellow cocoons.