Hair follicle development and wool shedding in sheep are poorly understood. This study investigated the population structures and genetic differences between sheep with different wool types to identify candidate genes related to these traits. We used Illumina ovine SNP 50K chip genotyping data of 795 sheep populations comprising 27 breeds with two wool types, measuring the population differentiation index (Fst), nucleotide diversity (θπ ratio), and extended haplotype homozygosity among populations (XP-EHH) to detect the selective signatures of hair sheep and fine-wool sheep. The top 5% of the Fst and θπ ratio values, and values of XP-EHH < −2 were considered strongly selected SNP sites. Annotation showed that the PRX, SOX18, TGM3, and TCF3 genes related to hair follicle development and wool shedding were strongly selected. Our results indicated that these methods identified important genes related to hair follicle formation, epidermal differentiation, and hair follicle stem cell development, and provide a meaningful reference for further study on the molecular mechanisms of economically important traits in sheep.