The dairy sheep industry is an important but lacking part of the small ruminant industry. For a sheep breeding program, in addition to wool and meat use, sheep milk can also be processed into high-end dairy products such as cheese and milk powder and bring high economic interests for businesses home and abroad. With increasing interest in sheep milk, the content of which is becoming increasingly clearer, people have found that the nutritional value of sheep milk is higher than that of goat milk and cow milk, with abundant fat yield, protein percentage, and mineral contents, which provide a good opportunity for the development of the sheep milk industry. This review will introduce some dairy sheep breeds with the highest milk production worldwide and compare sheep milk nutrition contents with other ruminants’ milk. Moreover, genes influencing lactation or mammary gland growth like CSN2, SLC2A2, SCD, and SOCS2, which have been revealed in recent studies to significantly affect milk production and milk composition traits will be discussed. For the SLC2A2 gene, working as an important solute carrier to transport small molecular nutrition from blood to milk and SOCS2 gene mutation as an indicator of mastitis, in addition, other genes have been detected that correlate with milk traits, which will be introduced in the review. Some personal opinions into future sheep milk development will be given in the final part of the text. Although the research of sheep milk genetic factors has achieved some progress in recent years, there is still a long way to go.