Sheep (Ovis aries) have been well adapted to thrive in a diverse range of climates during the domestication and breed development process. These climate-mediated selective pressures have shown to influence phenotypic variation within and among breeds and, meanwhile, left genetic “footprints” in their genome. Unlike numerous studies that searched for evidence of selection using only population genetic data, here we have scanned the sheep genome for selection signals by integrating genetic and climatic data. From the International Sheep HapMap Project, genome-wide data of ca. 50K SNPs in a diverse collection of 32 old and autochthonous breeds, which have been under different regional climates for a long term, were selected for the analyses. We first performed a variety of selection tests to detect variants under natural selective pressures. We demonstrated strong evidence for selective signals at a total of 230 SNPs associated with local adaptation to different climates. A great majority (82%, 189/230) of the candidate SNPs showed significant (P ˂ 0.05) correlations between allele frequencies and climatic variables in a large subset of native populations from a world-wide range of geographic origins and climates. Our results imply that adaptations to local climates have shaped the spatial distribution of particular variants and, thus, such loci are likely involved in sheep adaptation to environmental challenges. Further molecular and functional studies of candidate genes close to significant markers will help to elucidate the genetic architecture of climate-mediated adaptive traits in sheep and other farm animals.