This article reviews the literature on nitrate leaching under sheep grazing systems and focuses on identifying future research needs. Urinary nitrogen (N) is an important source of the nitrate leached from pastoral agriculture. Urinary N excretion can be measured or simulated using models and has been well characterised for dairy systems. It is difficult to continuously monitor the urinary N excretion of sheep under field conditions; consequently, measurements of N excretion in sheep urine are limited. Urination events by sheep vary greatly in volume (0.5 L to 6.9 L), concentration (3 to 13.7 g N/L), and frequency (8 to 23 events/day); this variation results in a corresponding variation in N loading rates in urine patches. The amount of nitrate leached under pastures grazed by sheep has typically varied between 1 and 50 kg N/ha/year, but rates as high as 300 kg N/ha/year have been reported. The quantity of nitrate leached under sheep depends on the season, climate, quantity and timing of drainage, the interaction between forage production and stocking rate, fertiliser applied, N fixation by legumes, forage type, and grazing management. The majority of studies examining nitrate leaching under sheep grazing systems are more than 20 years old; so, there is little recent information on nitrate leaching under modern pasture-based sheep production systems. Further research is required to quantify nitrate leaching levels under current sheep farming practices, to understand the impacts of this leaching on water quality, and to help identify effective strategies to reduce the transfer of N from grazed paddocks to receiving water bodies. This additional information will help provide information for decision support tools, including models and management practices, to help sheep farmers minimise their impact on the aquatic environment.