Merino sheep represents a valuable genetic resource worldwide. In this study, we investigated selection signatures in Merino (and Merino-derived) sheep breeds using genome-wide SNP data and two different approaches: a classical FST-outlier method and an approach based on the analysis of local ancestry in admixed populations. In order to capture the most reliable signals, we adopted a combined, multi-cohort approach. In particular, scenarios involving four Merino breeds (Spanish Merino, Australian Merino, Chinese Merino, and Sopravissana) were tested via the local ancestry approach, while nine pair-wise breed comparisons contrasting the above breeds, as well as the Gentile di Puglia breed, with non-Merino breeds from the same geographic area were tested via the FST-outlier method. Signals observed using both methods were compared with genome-wide patterns of distribution of runs of homozygosity (ROH) islands. Novel and known selection signatures were detected. The most reliable signals were observed on OAR 3 (MSRB3 and LEMD3), OAR10 (FRY and RXFP2), OAR 13 (RALY), OAR17 (FAM101A), and OAR18 (NFKBIA, SEC23A, and PAX9). All the above overlapped with known QTLs for wool traits, and evidences from the literature of their involvement in skin/hair/wool biology, as well as gene network analysis, further corroborated these results. The signal on OAR10 also contains well known evidence for association with horn morphology and polledness. More elusive biological evidences of association with the Merino phenotype were observed for a number of other genes, notably LOC101120019 and TMEM132B (OAR17), LOC105609948 (OAR3), LOC101110773 (OAR10), and EIF2S2 (OAR17). Taken together, the above results further contribute to decipher the genetic basis underlying the Merino phenotype.