The phenotypic diversity resulting from the domestication of sheep has made a significant contribution to human civilization. Hu sheep are a local sheep breed unique to China. Here, we conducted whole-genome sequencing of 207 Hu sheep and compared them with the wild ancestors of domestic sheep (Asian mouflon) to investigate the sheep’s genetic characteristics and selection signatures. Based on six signatures of selection approaches, we detected genomic regions containing genes related to reproduction (BMPR1B, BMP2, PGFS, CYP19, CAMK4, GGT5, and GNAQ), vision (ALDH1A2, SAG, and PDE6B), nervous system (NAV1), and immune response (GPR35, SH2B2, PIK3R3, and HRAS), which could potentially be a target relevant to the domestication and selection of Hu sheep. Association analysis revealed that missense mutations in the GPR35 (GPR35 g.952651 A>G; GPR35 g.952496 C>T) and NAV1 (NAV1 g.84216190 C>T; NAV1 g.84227412 G>A) genes were significantly associated (P < 0.05) with immune and growth traits in Hu sheep populations, respectively. This research offers novel insights into Hu sheep selection characteristics during domestication and facilitates further genetic improvement and molecular investigations.