Understanding the biological mechanisms of climatic adaptation is of paramount importance for the optimization of breeding programs and conservation of genetic resources. The aim of this study was to investigate genetic diversity and unravel genomic regions potentially under selection for heat and/or cold tolerance in thirty-two worldwide cattle breeds, with a focus on Chinese local cattle breeds adapted to divergent climatic conditions, Datong yak (Bos grunniens; YAK), and Bali (Bos javanicus) based on dense SNP data. In general, moderate genetic diversity levels were observed in most cattle populations. The proportion of polymorphic SNP ranged from 0.197 (YAK) to 0.992 (Mongolian cattle). Observed and expected heterozygosity ranged from 0.023 (YAK) to 0.366 (Sanhe cattle; SH), and from 0.021 (YAK) to 0.358 (SH), respectively. The overall average inbreeding (±SD) was: 0.118 ± 0.028, 0.228 ± 0.059, 0.194 ± 0.041, and 0.021 ± 0.004 based on the observed versus expected number of homozygous genotypes, excess of homozygosity, correlation between uniting gametes, and runs of homozygosity (ROH), respectively. Signatures of selection based on multiple scenarios and methods (FST, HapFLK, and ROH) revealed important genomic regions and candidate genes. The candidate genes identified are related to various biological processes and pathways such as heat-shock proteins, oxygen transport, anatomical traits, mitochondrial DNA maintenance, metabolic activity, feed intake, carcass conformation, fertility, and reproduction. This highlights the large number of biological processes involved in thermal tolerance and thus, the polygenic nature of climatic resilience. A comprehensive description of genetic diversity measures in Chinese cattle and YAK was carried out and compared to 24 worldwide cattle breeds to avoid potential biases. Numerous genomic regions under positive selection were detected using three signature of selection methods and candidate genes potentially under positive selection were identified. Enriched function analyses pinpointed important biological pathways, molecular function and cellular components, which contribute to a better understanding of the biological mechanisms underlying thermal tolerance in cattle. Based on the large number of genomic regions identified, thermal tolerance has a complex polygenic inheritance nature, which was expected considering the various mechanisms involved in thermal stress response.