Precision livestock farming (PLF), by integrating multimodal sensor data, provides opportunities to enhance welfare monitoring and management in small ruminants. This study evaluated whether environmental, physiological, and behavioral measurements—including the temperature–humidity index (THI), carbon dioxide (CO₂) and ammonia (NH₃) concentrations measured at the barn level, body condition score (BCS), rectal and ocular temperatures, GPS-derived locomotion metrics, accelerometry data, and fixed animal traits—can serve as key predictors of welfare and productivity in dairy sheep. Data were collected from 90 ewes: all animals underwent the same repeated welfare assessments, while 30 of them were additionally equipped with GPS–accelerometer sensor collars; environmental conditions were continuously recorded for the entire flock, generating 773 complete multimodal records. All predictive models were developed using data from all 90 ewes; collar-derived behavioral variables were included only for individuals equipped with GPS–accelerometer collars. Nine regression methods (linear regression (LR), partial least square regression (PLSR), elastic net (EN), mixed-effects models, random forest (RF), extreme gradient boosting (XGBoost), support vector regression (SVR), neural networks (multilayer perceptron, MLP), and an ensemble of RF–XGBoost–EN were evaluated using a combination of nested cross-validation (CV) and leave-one-animal-out CV (LOAOCV) to ensure robustness and generalization at the individual animal level. Nonlinear models—particularly RF, XGBoost, SVR, and the ensemble—consistently delivered superior performance across traits. For behavioral (e.g., daily distance movement) and thermal indicators (e.g., medial canthus temperature), the highest predictive capacity (R² ≈ 0.60–0.70) was achieved, while moderate predictive capacity (R² ≈ 0.40–0.50 and ≈0.35–0.45), respectively, was observed for respiratory rate and milk yield, reflecting their multifactorial nature. Feature importance analyses underscored the relevance of THI, CO₂, NH₃, concentrations, and BCS across results. Overall, these findings demonstrate that multimodal sensor fusion can effectively support the prediction of welfare and productivity indicators in intensively reared dairy sheep and emphasize the need for larger and more diverse datasets to further enhance model generalizability and model transferability.