The aim of this study was to investigate the genetic mechanisms underlying wool production by characterizing the skin protein profile and determining the proteomic changes that occur as a consequence of development in wool-producing sheep using a label-free proteomics approach. Samples were collected at four stages during gestation (87, 96, 102, and 138 days), and every two consecutive stages were statistically compared (87 versus 96, 96 versus 102, and 102 versus 138 days). We identified 227 specific proteins in the sheep proteome that were present in all four stages, and 123 differentially abundant proteins (DAPs). We also observed that the microstructure of the secondary follicles changed significantly during the development of the fetal skin hair follicle. The screened DAPs were strictly related to metabolic and skin development pathways, and were associated with pathways such as the glycolysis/gluconeogenesis. These analyses indicated that the wool production of fine wool sheep is regulated via a variety of pathways. These findings provide an important resource that can be used in future studies of the genetic mechanisms underlying wool traits in fine wool sheep, and the identified DAPs should be further investigated as candidate markers for predicting wool traits in sheep. SIGNIFICANCE: Wool quality (fiber diameter, length, etc.) is an important economic trait of fine wool sheep that is determined by secondary follicle differentiation and re-differentiation. Secondary follicles of fine wool sheep developed from a bud (87 days), and underwent differentiation (96 days) and rapid growth (102 days) until maturity (138 days) during gestation. Comparative analysis based on differential proteomics of these four periods could provide a better understanding of the wool growth mechanism of fine wool sheep and offer novel strategies for improving fine wool quality by breeding.