The domestication and subsequent development of sheep are crucial events in the history of human civilization and the agricultural revolution. However, the impact of interspecific introgression on the genomic regions under domestication and subsequent selection remains unclear. Here, we analyze the whole genomes of domestic sheep and their wild relative species. We found introgression from wild sheep such as the snow sheep and its American relatives (bighorn and thinhorn sheep) into urial, Asiatic and European mouflons. We observed independent events of adaptive introgression from wild sheep into the Asiatic and European mouflons, as well as shared introgressed regions from both snow sheep and argali into Asiatic mouflon before or during the domestication process. We revealed European mouflons might arise through hybridization events between a now extinct sheep in Europe and feral domesticated sheep around 6000–5000 years BP. We also unveiled later introgressions from wild sheep to their sympatric domestic sheep after domestication. Several of the introgression events contain loci with candidate domestication genes (e.g., PAPPA2, NR6A1, SH3GL3, RFX3 and CAMK4), associated with morphological, immune, reproduction or production traits (wool/meat/milk). We also detected introgression events that introduced genes related to nervous response (NEURL1), neurogenesis (PRUNE2), hearing ability (USH2A), and placental viability (PAG11 and PAG3) into domestic sheep and their ancestral wild species from other wild species.