Sheep are a vital species in the global agricultural economy, providing essential resources such as meat, milk, and wool. Merino sheep (Junken type) are a key breed of fine wool sheep in China. However, research on fine wool traits has largely overlooked the role of SNPs and their association with phenotypes. Copy number variations (CNVs) have emerged as one of the most important sources of genetic variation, influencing phenotypic traits by altering gene expression and dosage. To generate a comprehensive CNVR map of the ovine genome, we conducted genome-wide CNV detection using genotyping data from 285 fine wool sheep. This analysis revealed 656 CNVRs, including 628 on autosomes and 28 on the X chromosome, covering a total of 43.9 Mbs of the sheep genome. The proportion of CNVRs varied across chromosomes, from 0.45% on chromosome 26 to 3.72% on chromosome 10. Functional annotation through Gene Ontology (GO) and Kyoto Encyclopedia of Genes and Genomes (KEGG) pathway analyses highlighted significantly enriched GO terms, including odorant binding, ATP binding, and sulfuric ester hydrolase activity. The KEGG analysis identified involvement in pathways such as neuroactive ligand–receptor interaction, axon guidance, ECM–receptor interaction, the one-carbon pool by folate, and focal adhesion (p < 0.05). To validate these CNVRs, we performed quantitative real-time PCR experiments to verify copy number predictions made by PennCNV software (v1.0.5). Out of 11 selected CNVRs with predicted gain, loss, or gain–loss statuses, 8 (IDs 68, 156, 201, 284, 307, 352, 411, 601) were successfully confirmed. This study marks a significant step forward in mapping CNVs in the ovine genome and offers a valuable resource for future research on genetic variation in sheep.