We employed mtDNA and nuclear SNPs to investigate the genetic diversity of sheep breeds of three countries of the Mediterranean basin: Albania, Greece, and Italy. In total, 154 unique mtDNA haplotypes were detected by means of D-loop sequence analysis. The major nucleotide diversity was observed in Albania. We identified haplogroups, A, B, and C in Albanian and Greek samples, while Italian individuals clustered in groups A and B. In general, the data show a pattern reflecting old migrations that occurred in postneolithic and historical times. PCA analysis on SNP data differentiated breeds with good correspondence to geographical locations. This could reflect geographical isolation, selection operated by local sheep farmers, and different flock management and breed admixture that occurred in the last centuries.