Bovine respiratory disease (BRD) is one of the major health issues in the cattle industry, resulting in significant financial crises globally. There is currently no good treatment, and cattle are made resistant to pneumonia through disease-resistant breeding. The serial blood samples from six Xinjiang brown (XJB) calves were collected for the RNA sequencing (RNA-seq). The obtained six samples were grouped into two groups, in each group as infected with BRD and healthy calves, respectively. In our study, the differential expression mRNAs were detected by using RNA-seq and constructed a protein–protein interaction (PPI) network related to the immunity in cattle. The key genes were identified by protein interaction network analysis, and the results from RNA-seq were verified using reverse transcription-quantitative polymerase chain reaction (RT-qPCR). A total of 488 differentially expressed (DE) mRNAs were identified. Importantly, the enrichment analysis of these identified DEGs classified them as mainly enriched in the regulation and immune response processes. The 16 hub genes were found to be related to immune pathways categorized by PPIs analysis. Results revealed that many hub genes were related to the immune response to respiratory disease. These results will provide the basis for a better understanding of the molecular mechanism of bovine resistance to BRD.