The diversity of populations in domestic species offers great opportunities to study genome response to selection. The recently published Sheep HapMap dataset is a great example of characterization of the world wide genetic diversity in sheep. In this study, we re-analyzed the Sheep HapMap dataset to identify selection signatures in worldwide sheep populations. Compared to previous analyses, we made use of statistical methods that (i) take account of the hierarchical structure of sheep populations, (ii) make use of linkage disequilibrium information and (iii) focus specifically on either recent or older selection signatures. We show that this allows pinpointing several new selection signatures in the sheep genome and distinguishing those related to modern breeding objectives and to earlier post-domestication constraints. The newly identified regions, together with the ones previously identified, reveal the extensive genome response to selection on morphology, color and adaptation to new environments.