The question of how local adaptation takes place remains a fundamental question in evolutionary biology. The variation of allele frequencies in genes under selection over environmental gradients remains mainly theoretical and its empirical assessment would help understanding how adaptation happens over environmental clines. To bring new insights to this issue we set up a broad framework which aimed to compare the adaptive trajectories over environmental clines in two domesticated mammal species co-distributed in diversified landscapes. We sequenced the genomes of 160 sheep and 161 goats extensively managed along environmental gradients, including temperature, rainfall, seasonality and altitude, to identify genes and biological processes shaping local adaptation. Allele frequencies at putatively adaptive loci were rarely found to vary gradually along environmental gradients, but rather displayed a discontinuous shift at the extremities of environmental clines. Of the 430 candidate adaptive genes identified, only 6 were orthologous between sheep and goats and those responded differently to environmental pressures, suggesting different putative mechanisms involved in local adaptation in these two closely related species. Interestingly, the genomes of the 2 species were impacted differently by the environment, genes related to signatures of selection were most related to altitude, slope and rainfall seasonality for sheep, and summer temperature and spring rainfall for goats. The diversity of candidate adaptive pathways may result from a high number of biological functions involved in the adaptations to multiple eco-climatic gradients, and a differential role of climatic drivers on the two species, despite their co-distribution along the same environmental gradients. This study describes empirical examples of clinal variation in putatively adaptive alleles with different patterns in allele frequency distributions over continuous environmental gradients, thus showing the diversity of genetic responses in adaptive landscapes and opening new horizons for understanding genomics of adaptation in mammalian species and beyond.