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The sex hormones of estrogen and progesterone (P₄) play a vital role in mammary gland development and milk lactation in ruminants. The tight junction (TJ) between adjacent secretory epithelial cells is instrumental in establishing the mammary blood–milk barrier. However, whether estrogen and P₄ exert their effect on mammary function via regulating TJ remain unclear. Here, to clarify the role of 17-β estradiol (E₂) and P₄ in the regulation of TJ in goat mammary gland, we first explored the relationships between the concentrations of E₂, P₄, and the protein expression of claudin-1, claudin-3, occludin, and ZO-1 during the mammary gland development in goat. Then, we further explored the mRNA and protein expression of claudin-1, claudin-3, occludin, and ZO-1 in the goat mammary epithelial cells (GMECs) in vitro under different concentrations of E₂ and P₄. The results demonstrated that the protein expression of claudin-1 decreased, but occludin and ZO-1 increased with the decline in E₂ and P₄ during the transition from pregnancy to lactation. In the in vitro studies, E₂ exerted a positive effect on the mRNA expression of claudin-1, and accelerated the proteins’ expression of claudin-1 and ZO-1 in GMECs; P₄ upregulated the mRNA expression of claudin-1, claudin-3, occludin, and ZO-1, and also improved the protein expression of claudin-1, claudin-3, and ZO-1 in the GMECs. The results demonstrated that E₂ and P₄ play an important role in regulating the expression of the mammary TJ components, which may ultimately affect the mammary gland development and milk lactation.