Small ruminants are the critical source of livelihood for rural people to the development of sustainable and environmentally sound production systems. They provided a source of meat, milk, skin, and fiber. The several contributions of small ruminants to the economy of millions of rural people are however being challenged by extreme heat stress difficulties. Heat stress is one of the most detrimental factors contributing to reduced growth, production, reproduction performance, milk quantity and quality, as well as natural immunity, making animals more vulnerable to diseases and even death. However, small ruminants have successfully adapted to this extreme environment and possess some unique adaptive traits due to behavioral, morphological, physiological, and largely genetic bases. This review paper, therefore, aims to provide an integrative explanation of small ruminant adaptation to heat stress and address some responsible candidate genes in adapting to thermal-stressed environments.