Ovary development is an important determinant of the procreative capacity of female animals. Here, we performed genome-wide sequencing of long non-coding RNAs (lncRNAs) and mRNAs on ovaries of 1, 3 and 8 months old Hu sheep to assess their expression profiles and roles in ovarian development. We identified 37,309 lncRNAs, 45,404 messenger RNAs (mRNAs) and 330 novel micro RNAs (miRNAs) from the transcriptomic analysis. Six thousand, seven hundred and sixteen (6716) mRNAs and 1972 lncRNAs were significantly and differentially expressed in ovaries of 1 month and 3 months old Hu sheep (H1 vs H3). These mRNAs and target genes of lncRNAs were primarily enriched in the TGF-β and PI3K-Akt signalling pathways which are closely associated with ovarian follicular development and steroid hormone biosynthesis regulation. We identified MSTRG.162061.1, MSTRG.222844.7, MSTRG.335777.1, MSTRG.334059.16, MSTRG.188947.6 and MSTRG.24344.3 as vital genes in ovary development by regulating CTNNB1, CCNA2, CDK2, CDC20, CDK1 and EGFR expressions. A total of 2903 mRNAs and 636 lncRNAs were differentially expressed in 3 and 8 months old ovaries of Hu sheep (H3 vs H8); and were predominantly enriched in PI3K-Akt, progesterone-mediated oocyte maturation, estrogen metabolism, ovulation from the ovarian follicle and oogenesis pathways. These lncRNAs were also found to regulate FGF7, PRLR, PTK2, AMH and INHBA expressions during follicular development. Our result indicates the identified genes participate in the development of the final stages of follicles and ovary development in Hu sheep.