Abstract Worldwide, donkeys (Equus asinus) are valued for their meat and milk, and in China also for the medical value of their skin. Physiological characteristics are key to the donkey's adaptability, including their digestive, respiratory, and reproductive systems, which enable them to survive and work in a variety of environments. However, the understanding of donkey physiological characteristics at the cellular level remains poor. Thus, single‐cell transcriptome sequencing is used to construct a detailed transcriptional atlas based on 20 tissues from the Dezhou donkey (in total 84 cell types and 275 050 high quality cells) to perform an in‐depth investigation of molecular physiology. Cross‐species and cross‐tissue comparative analyses reveal SOX10 to be an evolutionally conserved regulon in oligodendrocytes and illuminate the distinctive transcriptional patterns of donkey sebocytes. Moreover, through multispecies skin metabolomics, highly abundant, species‐specific metabolites in donkey skin are identified, such as arachidonic acid and gamma‐glutamylcysteine, and the pivotal role of sebocytes in donkey skin metabolism is highlighted. In summary, this work offers new insights into the unique metabolic patterns of donkey skin and provides a valuable resource for the conservation of donkey germplasm and the advancement of selective breeding programs.