Canestrato Pugliese is an Italian uncooked hard cheese made by the Protected Designation of Origin (PDO) status. In the past, it was manufactured with milk from local sheep breeds (Altamurana and Leccese) while in recent years it has almost entirely been made with milk from non-native sheep breeds (Sarda and Comisana). The aim of the study was to investigate the breed effect on the quality of Canestrato Pugliese cheese by comparing two native (Altamurana and Leccese) and two non-native (Sarda and Comisana) sheep breeds. The experiment was carried out at the experimental farm of CREA-ZOE (Apulia region, Southern Italy) using a flock set-up of four sheep breeds: Altamurana, Leccese, Sarda, and Comisana. All sheep fed pasture supplemented with 200 g/sheep/day concentrate at each milking. For each breed, three cheese-makings of Canestrato Pugliese were carried out for three consecutive days following the PDO technology. At two and four months of ripening, cheese was analysed for gross composition, fatty acid profile, nutritional indexes, and volatile organic compounds. Significant differences were found between breeds in the fatty acid profile and nutritional indexes (P ≤ 0.05). Canestrato Pugliese from Comisana, Leccese, and Sarda had a higher dry matter and fat content than that from Altamurana breed (P ≤ 0.05). Cheeses from Altamurana and Comisana showed a higher content of unsaturated and omega-3 fatty acids and a better omega-6/omega-3 ratio than the others (P ≤ 0.05). The best Health Promoting Index was detected in Altamurana, Comisana, and Leccese cheeses (P ≤ 0.05). Additionally, sheep breed affected the content of volatile organic compounds (P ≤ 0.05). The highest value of volatile organic compounds was observed in cheeses from Leccese breed (P ≤ 0.05). The discriminant analysis performed on cheese data shows a separation between native and non-native sheep breeds. The present study reveals that the breed has an evident effect on the fatty acid and volatile organic compound profile of Canestrato Pugliese.