Hainan yellow cattle are indigenous Zebu cattle from southern China known for their tolerance of heat and strong resistance to disease. Generations of adaptation to the tropical environment of southern China and decades of artificial breeding have left identifiable selection signals in their genomic makeup. However, information on the selection signatures of Hainan yellow cattle is scarce. Herein, we compared the genomes of Hainan yellow cattle with those of Zebu, Qinchuan, Nanyang, and Yanbian cattle breeds by the composite likelihood ratio method (CLR), Tajima’s D method, and identifying runs of homozygosity (ROHs), each of which may provide evidence of the genes responsible for heat tolerance in Hainan yellow cattle. The results showed that 5210, 1972, and 1290 single nucleotide polymorphisms (SNPs) were screened by the CLR method, Tajima’s D method, and ROH method, respectively. A total of 453, 450, and 325 genes, respectively, were identified near these SNPs. These genes were significantly enriched in 65 Gene Ontology (GO) functional terms and 11 Kyoto Encyclopedia of Genes and Genomes (KEGG) pathways (corrected p < 0.05). Five genes—Adenosylhomocysteinase-like 2, DnaJ heat shock protein family (Hsp40) member C3, heat shock protein family A (Hsp70) member 1A, CD53 molecule, and zinc finger and BTB domain containing 12—were recognized as candidate genes associated with heat tolerance. After further functional verification of these genes, the research results may benefit the understanding of the genetic mechanism of the heat tolerance in Hainan yellow cattle, which lay the foundation for subsequent studies on heat stress in this breed.