Sheep farming is an important socioeconomic activity in most Mediterranean countries, particularly Spain, where it contributes added value to rural areas. Sheep milk is used in Spain mainly for making cheese, but it can be used also for making other dairy products, such as the lactic-alcoholic fermentation product known as kefir. Dairy products have health benefits because, among other reasons, they contain molecules with biological activity. In this work, we performed a proteomics strategy to identify the peptidome, i.e., the set of peptides contained in sheep milk kefir fermented for four different periods of time, aiming to understand changes in the pattern of digestion of milk proteins, as well as to identify potential bioactive peptides. In total, we identified 1942 peptides coming from 11 different proteins, and found that the unique peptides differed qualitatively among samples and their numbers increased along the fermentation time. These changes were supported by the increase in ethanol, lactic acid, and D-galactose concentrations, as well as proteolytic activity, as the fermentation progressed. By searching in databases, we found that 78 of the identified peptides, all belonging to caseins, had potential biological activity. Of these, 62 were not previously found in any milk kefir from other animal species. This is the first peptidomic study of sheep milk kefir comprising time-course comparison.