The worldwide sheep population comprises more than 1000 breeds. Together, these exhibit a considerable morphological diversity, which has not been extensively investigated at the molecular level. Here, we analyze whole-genome sequencing individuals of 1,098 domestic sheep from 154 breeds, and 69 wild sheep from seven Ovis species. On average, we detected 6.8%, 1.0% and 0.2% introgressed sequence in domestic sheep originating from Iranian mouflon, urial and argali, respectively, with rare introgressions from other wild species. Interestingly, several introgressed haplotypes contributed to the morphological differentiations across sheep breeds, such as a RXFP2 haplotype from Iranian mouflon conferring the spiral horn trait, a MSRB3 haplotype from argali strongly associated with ear morphology, and a VPS13B haplotype probably originating from urial and mouflon possibly associated with facial traits. Our results reveal that introgression events from wild Ovis species contributed to the high rate of morphological differentiation in sheep breeds, but also to individual variation within breeds. We propose that long divergent haplotypes are a ubiquitous source of phenotypic variation that allows adaptation to a variable environment, and that these remain intact in the receiving population probably due to reduced recombination.