Sheep show characteristics of phenotypic diversity and adaptation to diverse climatic regions. Previous studies indicated associations between copy number variations (CNVs) and climate-driven adaptive evolution in humans and other domestic animals. Here, we constructed a genomic landscape of CNVs (n = 39,145) in 47 old autochthonous populations genotyped at a set of high-density (600 K) SNPs to detect environment-driven signatures of CNVs using a multivariate regression model. We found 136 deletions and 52 duplications that were significantly (P_adj. < 0.05) associated with climatic variables. These climate-mediated selective CNVs are involved in functional candidate genes for heat stress and cold climate adaptation (e.g., B3GNTL1, UBE2L3, and TRAF2), coat and wool-related traits (e.g., TMEM9, STRA6, RASGRP2, and PLA2G3), repairing damaged DNA (e.g., HTT), GTPase activity (e.g., COPG), fast metabolism (e.g., LMF2 and LPIN3), fertility and reproduction (e.g., SLC19A1 and CCDC155), growth-related traits (e.g., ADRM1 and IGFALS), and immune response (e.g., BEGAIN and RNF121) in sheep. In particular, we identified significant (P_adj. < 0.05) associations between probes in deleted/duplicated CNVs and solar radiation. Enrichment analysis of the gene sets among all the CNVs revealed significant (P_adj. < 0.05) enriched gene ontology terms and pathways related to functions such as nucleotide, protein complex, and GTPase activity. Additionally, we observed overlapping between the CNVs and 140 known sheep QTLs. Our findings imply that CNVs can serve as genomic markers for the selection of sheep adapted to specific climatic conditions.