Abstract How animals, particularly livestock, adapt to various climates and environments over short evolutionary time is of fundamental biological interest. Further, understanding the genetic mechanisms of adaptation in indigenous livestock populations is important for designing appropriate breeding programs to cope with the impacts of changing climate. Here, we conducted a comprehensive genomic analysis of diversity, interspecies introgression, and climate-mediated selective signatures in a global sample of sheep and their wild relatives. By examining 600K and 50K genome-wide single nucleotide polymorphism data from 3,447 samples representing 111 domestic sheep populations and 403 samples from all their seven wild relatives (argali, Asiatic mouflon, European mouflon, urial, snow sheep, bighorn, and thinhorn sheep), coupled with 88 whole-genome sequences, we detected clear signals of common introgression from wild relatives into sympatric domestic populations, thereby increasing their genomic diversities. The introgressions provided beneficial genetic variants in native populations, which were significantly associated with local climatic adaptation. We observed common introgression signals of alleles in olfactory-related genes (e.g., ADCY3 and TRPV1) and the PADI gene family including in particular PADI2, which is associated with antibacterial innate immunity. Further analyses of whole-genome sequences showed that the introgressed alleles in a specific region of PADI2 (chr2: 248,302,667–248,306,614) correlate with resistance to pneumonia. We conclude that wild introgression enhanced climatic adaptation and resistance to pneumonia in sheep. This has enabled them to adapt to varying climatic and environmental conditions after domestication.