Heat stress is a condition in which the body's homeostasis is disturbed as a result of the rise in water temperature, resulting in the decline or even death of growth, immunity, and other functions. The mechanisms directing this response are not fully understood. To better characterize the effects of acute heat stress on the innate immune function of rainbow trout, we identified differentially regulated messenger RNA (mRNA) and non-coding RNA (ncRNA) in rainbow trout exposed to acute heat stress. Next-generation RNA sequencing and comprehensive bioinformatics analysis were conducted to characterize the transcriptome profiles, including mRNA, microRNA (miRNA), and long non-coding RNA (lncRNA). The head kidney of rainbow trout were exposed to acute heat stress at 22.5 °C for 24 h. A total of 2605 lncRNAs, 214 miRNAs, and 5608 mRNAs were identified as differentially regulated. Among these expressed genes differentially, 45 lncRNAs and 2 target genes, as well as 38 miRNAs and 14 target genes were significantly enriched in the innate immune response of rainbow trout. LncRNA is used as competitive endogenous RNA (ceRNA) to construct the ceRNA-miRNA-mRNA interaction network. Enrichment analysis of the Kyoto encyclopedia of genes and genomes (KEGG) of ceRNA, the differentially expressed genes related to the innate immune function of rainbow trout, were significantly enriched in the signaling pathway mediated by mitogen-activated protein kinase (MAPK). Overall, these analyses showed the effects of heat stress on the innate immune function in rainbow trout at the transcriptome level, providing a theoretical basis to improve the production and breeding of rainbow trout and the selection of new heat-resistant varieties.