Prolific breeds of domestic sheep (Ovis aries) are important genetic resources due to their reproductive performance, which is characterized by multiple lambs per birth and out-of-season breeding. However, the lack of a comprehensive understanding of the genetic mechanisms underlying the important reproductive traits, particularly from the evolutionary genomics perspective, has impeded the efficient advancement of sheep breeding. Here, for the first time, by performing RNA-sequencing we built a de novo transcriptome assembly of ovarian and endometrial tissues in European mouflon (Ovis musimon) and performed an mRNA-miRNA integrated expression profiling analysis of the wild species and a highly prolific domestic sheep breed, the Finnsheep. We identified several novel genes with differentially expressed mRNAs (e.g., EREG, INHBA, SPP1, AMH, TDRD5, and ZP2) between the wild and domestic sheep, which are functionally involved in oocyte and follicle development and fertilization, and are significantly (adjusted P-value < 0.05) enriched in the Gene Ontology (GO) terms of various reproductive process, including the regulation of fertilization, oogenesis, ovarian follicle development, and sperm-egg recognition. Additionally, we characterized 58 differentially expressed miRNAs and 210 associated target genes that are essential for the regulation of female reproduction cycles through specific regulatory networks [e.g., (miR-136, miR-374a, miR-9-5p)-(EREG, INHBA)]. Furthermore, our integrated mRNA and miRNA expression profiling analysis elucidated novel direct and indirect miRNA/mRNA causal regulatory relationships related to the reproductive traits of the Ovis species. This study provides in-depth insights into the genomic evolution underlying the reproductive traits of the Ovis species and valuable resources for ovine genomics.