Environmental stressors have, over generations, influenced the morphology, anatomy, behaviour, physiology, and genetic structure of small ruminants. The widespread dispersal of small ruminants over vast geographical areas occurred along with human migration, thereby promoting the adaptative process to different environmental conditions mainly through natural selection. Ongoing global warming prompted scientific efforts to deepen the knowledge and understanding of adaptation traits in small ruminants. Compared to other ruminants, sheep and goats seem to have a better adaptation ability to environmental stressors, as evident by their presence across different geographic areas on a global level. Adaptation to a specific environment leads to variations in precise genomic regions, allowing for the identification and selection of animals with a high capacity of adaptation to environmental stressors. Rapid development in sequencing technologies, together with bioinformatics tools, make it possible to analyse the genomic regions related to environmental adaptation. Hence, the aims of this review were (i) to outline the main steps of the evolution process in sheep and goat species, (ii) to summarise candidate genes related to environmental adaptation, and (iii) to evaluate both selection and conservation possibilities of these genes in native small ruminant breeds for future challenges to better face the global warming.