Climate change and increasing atmospheric temperature are important issues in breeding small ruminants. Although sheep animals are highly adaptable to extreme conditions, observing how they respond physiologically when challenged in stressful climatic regions is important. Understanding the physiological pathways that lead these animals to thermal equilibrium is crucial. The present study aimed to analyse the interaction between environmental and physiological variables on heat stress in different breeds of sheep by path and logistic regression analysis. In total, 16 sheep genetics groups were studied and classified into two groups (wool and hair) to analyse how the variables correlate using path analysis and the responses of respiration rate and rectal temperature to increased temperature and humidity index using logistic regression analysis. Suffolk and Dorper breeds presented alterations in respiration rate before the others. Bergamasca and Poll Dorset × Dorper were the first groups to demonstrate alterations in rectal temperature. Hampshire Down breed showed no alteration in respiration rate. Morada Nova was the breed (among the breeds with hair) with the more delayed respiration rate and rectal temperature alteration. The use of path analysis and logistic regression helps in the understanding of how sheep animals respond physiologically to environmental changes.