The Yangtze finless porpoise (Neophocaena asiaeorientalis, YFP) has attracted much attention because of the dramatic decline in population size over the past decades, which raises the concern of extinction. Exploring the immune adaptability that occurs between female and male YFPs is important for their protection. In this study, blood samples of 3 female and 3 male YFPs were used for mRNA and miRNA sequencing by RNA-seq technology. We systematically investigated the mRNA and miRNA profiles of female and male YFPs to screen for genes, pathways, and predicted miRNA-mRNA networks associated with the immune system. A total of 15878 unigenes and 985 microRNAs were obtained from 6 samples. KEGG analysis revealed that 1534 unigenes were annotated to the immune system category and were significantly (P＜0.05) enriched in 20 common immune pathways. Further, 539 differentially expressed genes (DEGs) and 160 differentially expressed miRNAs (DEMs) were identified, of which 299 were female-preferred genes and 240 were male-preferred genes. GO and KEGG enrichment analysis showed that blood genes were significantly correlated with immune response and energy metabolism in females, and with immune response and cell growth in males. In addition, pathway enrichment analysis revealed that FoxO and Hippo signaling pathways were activated in the female blood. Based on the integrated analysis of DEGs and DEMs, 45 negative regulatory relationships of miRNA-mRNA were predicted, including 13 DEMs and 37 immune-related DEGs. Studies have shown that microRNAs are involved in the immune system of both female and male YFPs by regulating gene expression, and adult female YFPs may have stronger immunity and the ability to maintain homeostasis. This study provides a new perspective for interpreting the adaptability of male and female YFPs to diverse habitats from the perspective of immunity, and the study’s findings are of great significance for protecting this endangered species.