High-density genomic data analyzed by accurate statistical methods are of potential to enlighten past breeding practices such as selection by unraveling fixed regions. In this study, four native Turkish sheep breeds (80 samples) were genotyped via 296.097 single nucleotide polymorphisms (SNPs) detected by double-digest restriction site-associated DNA (ddRADseq) library preparation combined with the Illumina HiSeq X Ten instrument in order to identify genes under selection pressure. A total of 32, 136, 133, and 119 protein-coding genes were detected under selection pressure by runs of homozygosity (ROH), integrated haplotype score (iHS), the ratio of extended haplotype homozygosity (Rsb), and fixation index (FST) approaches, respectively. Of these, a total of 129 genes were identified by at least two statistical models which overlapped with a total of 52 quantitative trait loci (QTL)-associated SNPs, known to be related to fiber diameter, milk content, body weight, carcass traits, some blood parameters, and entropion. A total of six genes under selection pressure were validated by three statistical approaches five of which are of potential to be integrated into animal breeding since they were associated with wool fiber diameter (ZNF208B), behaviors related to neurocognitive development (CBX1 and NFE2L1), adaptation to high-altitude (SDK1), and anxiety causing internal stress (GSG1L). The sixth gene (COPZ1) turned out to play an important role in coping with different types of cancer in mammals. In particular, ROH analysis uncovered significant findings that the Güney Karaman (GKR) had experienced different selection practices than the Akkaraman (AKR) breed. Moreover, some genes specifically under selection in the GKR breed turned out to be associated with olfaction (OR6K6, OR6N1, OR6N2, and OR4C16), survival during the gestation period (PRR15L), and heat stress (CDK5RAP9). The results of this study imply that GKR may become genetically different from the AKR breed at the genome level due to most probably experiencing different adaptation processes occurring in raised climatic conditions. These differences should be conserved to face future challenges, while other native Turkish sheep breeds could be monitored via genome-wide high-density SNP data to obtain deeper knowledge about the effects of natural selection.