The energy consumption of sheep milk cooling systems (MCSs) was quantified in this study to provide original information filling a literature gap on the impact of sheep milk cooling on the energy and economic balance in dairy farms. Performance and energy monitoring tests were conducted simultaneously on 22 MCSs in Sardinia (Italy). The results determined the cooling time as a function of the performance class and number of milkings. The Energy Utilization Index (EUI) was applied to measure the energy required to cool down the milk and estimate the incidence on its price. The average EUI was 1.76 kWh 100 L−1 for two-milkings and 2.43 kWh 100 L−1 for four-milkings MCSs, whereas the CO2 emissions ranged from 998 to 1378 g CO2 100 L−1 for two- and four-milkings MCSs, respectively. The estimated energy consumption for the storage of refrigerated sheep milk was 0.12 kWh 100 L−1. The malfunctioning MCSs averagely consumed 31% more energy than regular systems. The energy cost for cooling accounted for 0.61% on the current sheep milk price in Italy. Based on the analysis, the reported EUI values can be used as a preliminary indicator of the regular operation of MCSs.