Wool color is controlled by a variety of genes. Although the gene regulation of some wool colors has been studied in relative depth, there may still be unknown genetic variants and control genes for some colors or different breeds of wool that need to be identified and recognized by whole genome resequencing. Therefore, we used whole genome resequencing data to compare and analyze sheep populations of different breeds by population differentiation index and nucleotide diversity ratios (Fst and θπ ratio) as well as extended haplotype purity between populations (XP-EHH) to reveal selection signals related to wool coloration in sheep. Screening in the non-white wool color group (G1 vs. G2) yielded 365 candidate genes, among which PDE4B, GMDS, GATA1, RCOR1, MAPK4, SLC36A1, and PPP3CA were associated with the formation of non-white wool; an enrichment analysis of the candidate genes yielded 21 significant GO terms and 49 significant KEGG pathways (p < 0.05), among which 17 GO terms and 21 KEGG pathways were associated with the formation of non-white wool. Screening in the white wool color group (G2 vs. G1) yielded 214 candidate genes, including ABCD4, VSX2, ITCH, NNT, POLA1, IGF1R, HOXA10, and DAO, which were associated with the formation of white wool; an enrichment analysis of the candidate genes revealed 9 significant GO-enriched pathways and 19 significant KEGG pathways (p < 0.05), including 5 GO terms and 12 KEGG pathways associated with the formation of white wool. In addition to furthering our understanding of wool color genetics, this research is important for breeding purposes.