Hetian sheep is a breed of sheep unique to the Hetian area of Xinjiang whose wool is used for producing blankets. Individual differences and hair follicle density are the key factors affecting wool production. Therefore, this study aimed to assess the Hetian sheep having different wool densities to statistically analyze the wool traits and hair follicle parameters. Furthermore, the transcriptome sequencing analysis was performed on the skins with different wool densities. The results showed that wool quantity and total hair follicle density of the high wool density sheep was significantly higher than low wool density sheep. The sheepskin with high wool density was found to grow more and finer wool than sheepskin with low wool density. A total of 1,452 differentially expressed genes were screened from the two sets of samples, including 754 upregulated and 698 downregulated genes. The differentially expressed genes were involved in the TGF-β/BMP and MAPK signaling pathways related to hair growth. Eleven differentially expressed genes belonging to the KAPs and KIFs might affect the fineness of the wool. The key genes, like the TNF, MAP2K2, INHBA, FST, PTPN11, MAP3K7, KIT, and BMPR1A, were found to probably affect the growth and density of the wool. The qPCR verified eight genes related to the MAPK pathway whose gene expression trends were consistent with the transcriptome sequencing results. This study furnishes valuable resources for enhancing the quality and production of wool in the Hetian sheep.