MicroRNAs (miRNAs) are a class of small non-coding RNAs, molecules of 21 to 25 nucleotides in length, that regulate gene expression by binding to their target mRNA and play a significant role in animal development. The expression and role of miRNAs in regulating sheep estrus, however, remain elusive. Transcriptome analysis is helpful to understand the biological roles of miRNAs in the pituitary gland of sheep. A sheep’s pituitary gland has a significant difference between estrus and anestrus states. Here, we investigate the expression profiles of sheep anterior pituitary microRNAs (miRNAs) in two states, estrus and anestrus, using Illumina HiSeq-technology. This study identified a total of 199 miRNAs and 25 differentially expressed miRNAs in the estrus and anestrus pituitary gland in sheep. Reverse transcription quantitative-PCR (RT-qPCR) analysis shows six differentially (p < 0.05) expressed miRNAs, that are miR-143, miR-199a, miR-181a, miR-200a, miR-218, and miR-221 in both estrus and anestrus states. miRNAs containing estrus-related terms and pathways regulation are enriched using enrichment analysis from gene ontology (GO) and the Kyoto Encyclopedia of Genes and Genomes (KEGG). Moreover, we also envisioned a miRNA–mRNA interaction network to understand the function of miRNAs involved in the pituitary gland regulatory network. In conclusion, miRNA expression profiles in sheep pituitary gland in the anestrus and estrus deliver a theoretical basis for the study of pituitary gland biology in sheep.